dynare/matlab/print_expectations.m

function print_expectations(expectationmodelname, expectationmodelkind, withcalibration)

% Prints the exansion of the VAR_EXPECTATION or PAC_EXPECTATION term in files.
%
% INPUTS
% - epxpectationmodelname       [string]    Name of the expectation model.
% - expectationmodelkind        [string]    Kind of the expectation model.
% - withcalibration             [logical]   Prints calibration if true.
%
% OUTPUTS
% None
%
% REMARKS
% The routine creates two text files
%
% - {expectationmodelname}-parameters.inc     which contains the declaration of the parameters specific to the expectation model kind term.
% - {expectationmodelname}-expression.inc     which contains the expanded version of the expectation model kind term.
%
% These routines are saved under the {modfilename}/model/{expectationmodelkind} subfolder, and can be
% used after in another mod file (ie included with the macro directive @#include).
%
% The variable expectationmodelkind can take two values 'var-expctations' or 'pac-expectations'.

% Copyright (C) 2018 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.

global M_

if nargin<3 || isempty(withcalibration)
    withcalibration = true;
end

% Check that the first input is a row character array.
if ~isrow(expectationmodelname)==1 || ~ischar(expectationmodelname)
    error('First input argument must be a row character array.')
end

% Check that the second input is a row character array.
if ~isrow(expectationmodelkind)==1 || ~ischar(expectationmodelkind)
    error('Second input argument must be a row character array.')
end

% Check that the value of the second input is correct.
if ~ismember(expectationmodelkind, {'var-expectations', 'pac-expectations'})
    error('Wrong value for teh second input argument.')
end

% Check that the model exists.
switch expectationmodelkind
  case 'var-expectations'
    if ~isfield(M_.var_expectation, expectationmodelname)
        error('VAR_EXPECTATION_MODEL %s is not defined.', expectationmodelname)
    else
        expectationmodelfield = 'var_expectation';
    end
  case 'pac-expectations'
    if ~isfield(M_.pac, expectationmodelname)
        error('PAC_EXPECTATION_MODEL %s is not defined.', expectationmodelname)
    else
        expectationmodelfield = 'pac';
    end
  otherwise
end

% Get the expectation model description
expectationmodel = M_.(expectationmodelfield).(expectationmodelname);

% Get the name of the associated VAR model and test its existence.
if ~isfield(M_.(expectationmodel.auxiliary_model_type), expectationmodel.auxiliary_model_name)
    switch expectationmodelkind
      case 'var-expectations'
        error('Unknown VAR/TREND_COMPONENT model (%s) in VAR_EXPECTATION_MODEL (%s)!', expectationmodel.auxiliary_model_name, expectationmodelname)
      case 'pac-expectations'
        error('Unknown VAR/TREND_COMPONENT model (%s) in PAC_EXPECTATION_MODEL (%s)!', expectationmodel.auxiliary_model_name, expectationmodelname)
      otherwise
    end
end

auxmodel = M_.(expectationmodel.auxiliary_model_type).(expectationmodel.auxiliary_model_name);

%
% First print the list of parameters appearing in the VAR_EXPECTATION/PAC_EXPECTATION term.
%
if ~exist(sprintf('%s/model/%s', M_.fname, expectationmodelkind), 'dir')
    mkdir(sprintf('%s/model/%s', M_.fname, expectationmodelkind))
end

filename = sprintf('%s/model/%s/%s-parameters.inc', M_.fname, expectationmodelkind, expectationmodelname);
fid = fopen(filename, 'w');
fprintf(fid, '// This file has been generated by dynare (%s).\n\n', datestr(now));

switch expectationmodelkind
  case 'var-expectations'
    parameter_declaration = 'parameters';
    for i=1:length(expectationmodel.param_indices)
        parameter_declaration = sprintf('%s %s', parameter_declaration, M_.param_names{expectationmodel.param_indices(i)});
    end
    fprintf(fid, '%s;\n\n', parameter_declaration);
    if withcalibration
        for i=1:length(expectationmodel.param_indices)
            fprintf(fid, '%s = %s;\n', M_.param_names{expectationmodel.param_indices(i)}, num2str(M_.params(expectationmodel.param_indices(i)), 16));
        end
    end
  case 'pac-expectations'
    if isfield(expectationmodel,'h0_param_indices') && ~isempty(expectationmodel.h0_param_indices)
        parameter_declaration = 'parameters';
        for i=1:length(expectationmodel.h0_param_indices)
            parameter_declaration = sprintf('%s %s', parameter_declaration, M_.param_names{expectationmodel.h0_param_indices(i)});
        end
        fprintf(fid, '%s;\n\n', parameter_declaration);
        if withcalibration
            for i=1:length(expectationmodel.h0_param_indices)
                fprintf(fid, '%s = %s;\n', M_.param_names{expectationmodel.h0_param_indices(i)}, num2str(M_.params(expectationmodel.h0_param_indices(i)), 16));
            end
        end
    end
    if isfield(expectationmodel,'h1_param_indices') && ~isempty(expectationmodel.h1_param_indices)
        parameter_declaration = 'parameters';
        for i=1:length(expectationmodel.h1_param_indices)
            parameter_declaration = sprintf('%s %s', parameter_declaration, M_.param_names{expectationmodel.h1_param_indices(i)});
        end
        fprintf(fid, '%s;\n\n', parameter_declaration);
        if withcalibration
            for i=1:length(expectationmodel.h1_param_indices)
                fprintf(fid, '%s = %s;\n', M_.param_names{expectationmodel.h1_param_indices(i)}, num2str(M_.params(expectationmodel.h1_param_indices(i)), 16));
            end
        end
    end
    if isfield(expectationmodel, 'growth_neutrality_param_index')
        fprintf(fid, '\n');
        fprintf(fid, 'parameters %s;\n\n', M_.param_names{expectationmodel.growth_neutrality_param_index});
        if withcalibration
            fprintf(fid, '%s = %s;\n', M_.param_names{expectationmodel.growth_neutrality_param_index}, num2str(M_.params(expectationmodel.growth_neutrality_param_index), 16));
        end
        growth_correction = true;
    else
        growth_correction = false;
    end
  otherwise
end

fclose(fid);

%
% Second print the expanded VAR_EXPECTATION/PAC_EXPECTATION term.
%
filename = sprintf('%s/model/%s/%s-expression.inc', M_.fname, expectationmodelkind, expectationmodelname);
fid = fopen(filename, 'w');
fprintf(fid, '// This file has been generated by dynare (%s).\n', datestr(now));

id = 0;

maxlag = max(auxmodel.max_lag);
if isequal(expectationmodel.auxiliary_model_type, 'trend_component')
    % Need to add a lag since the error correction equations are rewritten in levels.
    maxlag = maxlag+1;
end

for i=1:maxlag
    for j=1:length(auxmodel.list_of_variables_in_companion_var)
        id = id+1;
        variable = auxmodel.list_of_variables_in_companion_var{j};
        transformations = {};
        ida = get_aux_variable_id(variable);
        while ida
            if isequal(M_.aux_vars(ida).type, 8)
                transformations = [transformations, 'diff'];
                variable = M_.endo_names{M_.aux_vars(ida).orig_index};
                ida = get_aux_variable_id(variable);
            elseif isequal(M_.aux_vars(ida).type, 10)
                transformations = [transformations, 'log'];
                variable = M_.endo_names{M_.aux_vars(ida).orig_index};
                ida = get_aux_variable_id(variable);
            end
        end
        switch  expectationmodelkind
          case 'var-expectations'
            parameter = M_.param_names{expectationmodel.param_indices(id)};
          case 'pac-expectations'
            parameter = '';
            if isfield(expectationmodel,'h0_param_indices') && ~isempty(expectationmodel.h0_param_indices)
                parameter = M_.param_names{expectationmodel.h0_param_indices(id)};
            end
            if isfield(expectationmodel,'h1_param_indices') && ~isempty(expectationmodel.h1_param_indices)
                if isempty(parameter)
                    parameter = M_.param_names{expectationmodel.h1_param_indices(id)};
                else
                    parameter = sprintf('(%s+%s)', parameter, M_.param_names{expectationmodel.h1_param_indices(id)});
                end
            end
          otherwise
        end
        switch expectationmodelkind
          case 'var-expectations'
            if i>1
                variable = sprintf('%s(-%d)', variable, i-1);
            end
          case 'pac-expectations'
            variable = sprintf('%s(-%d)', variable, i);
          otherwise
        end
        if ~isempty(transformations)
            for k=length(transformations):-1:1
                variable = sprintf('%s(%s)', transformations{k}, variable);
            end
        end
        if isequal(id, 1)
            if isequal(expectationmodelkind, 'pac-expectations') && growth_correction
                pgrowth = M_.param_names{expectationmodel.growth_neutrality_param_index};
                switch expectationmodel.growth_type
                  case 'parameter'
                    vgrowth = M_.param_names{expectationmodel.growth_index};
                  case 'endogenous'
                    vgrowth = M_.endo_names{expectationmodel.growth_index};
                  case 'exogenous'
                    vgrowth = M_.exo_names{expectationmodel.growth_index};
                  otherwise
                end
                expression = sprintf('%s*%s+%s*%s', pgrowth, vgrowth, parameter, variable);
            else
                expression = sprintf('%s*%s', parameter, variable);
            end
        else
            expression = sprintf('%s + %s*%s', expression, parameter, variable);
        end
    end
end

fprintf(fid, '%s', expression);
fclose(fid);

%
% Third print a routine for evaluating VAR_EXPECTATION/PAC_EXPECTATION term (returns a dseries object).
%
kind = strrep(expectationmodelkind, '-', '_');
mkdir(sprintf('+%s/+%s/+%s', M_.fname, kind, expectationmodelname));
filename = sprintf('+%s/+%s/+%s/evaluate.m', M_.fname, kind, expectationmodelname);
fid = fopen(filename, 'w');
fprintf(fid, 'function ds = evaluate_%s(dbase)\n\n', expectationmodelname);
fprintf(fid, '%% Evaluates %s term (%s).\n', kind, expectationmodelname);
fprintf(fid, '%%\n');
fprintf(fid, '%% INPUTS\n');
fprintf(fid, '%% - dbase     [dseries]  databse containing all the variables appearing in the auxiliary model for the expectation.\n');
fprintf(fid, '%%\n');
fprintf(fid, '%% OUTPUTS\n');
fprintf(fid, '%% - ds        [dseries]  the expectation term .\n');
fprintf(fid, '%%\n');
fprintf(fid, '%% REMARKS\n');
fprintf(fid, '%% The name of the appended variable in dbase is the declared name for the (PAC/VAR) expectation model.\n\n');
fprintf(fid, '%% This file has been generated by dynare (%s).\n\n', datestr(now));
fprintf(fid, 'ds = dseries();\n\n');

id = 0;

maxlag = max(auxmodel.max_lag);
if isequal(expectationmodel.auxiliary_model_type, 'trend_component')
    % Need to add a lag since the error correction equations are rewritten in levels.
    maxlag = maxlag+1;
end

for i=1:maxlag
    for j=1:length(auxmodel.list_of_variables_in_companion_var)
        id = id+1;
        variable = auxmodel.list_of_variables_in_companion_var{j};
        transformations = {};
        ida = get_aux_variable_id(variable);
        while ida
            if isequal(M_.aux_vars(ida).type, 8)
                transformations = [transformations, 'diff'];
                variable = M_.endo_names{M_.aux_vars(ida).orig_index};
                ida = get_aux_variable_id(variable);
            elseif isequal(M_.aux_vars(ida).type, 10)
                transformations = [transformations, 'log'];
                variable = M_.endo_names{M_.aux_vars(ida).orig_index};
                ida = get_aux_variable_id(variable);
            end
        end
        switch  expectationmodelkind
          case 'var-expectations'
            parameter = M_.params(expectationmodel.param_indices(id));
          case 'pac-expectations'
            parameter = 0;
            if isfield(expectationmodel,'h0_param_indices') && ~isempty(expectationmodel.h0_param_indices)
                parameter = M_.params(expectationmodel.h0_param_indices(id));
            end
            if isfield(expectationmodel,'h1_param_indices') && ~isempty(expectationmodel.h1_param_indices)
                if ~parameter
                    parameter = M_.params(expectationmodel.h1_param_indices(id));
                else
                    parameter = parameter+M_.params(expectationmodel.h1_param_indices(id));
                end
            end
          otherwise
        end
        switch expectationmodelkind
          case 'var-expectations'
            if i>1
                variable = sprintf('dbase.%s(-%d)', variable, i-1);
            else
                variable = sprintf('dbase.%s', variable);
            end
          case 'pac-expectations'
            variable = sprintf('dbase.%s(-%d)', variable, i);
          otherwise
        end
        if ~isempty(transformations)
            for k=length(transformations):-1:1
                variable = sprintf('%s.%s()', variable, transformations{k});
            end
        end
        if isequal(id, 1)
            if isequal(expectationmodelkind, 'pac-expectations') && growth_correction
                pgrowth = M_.params(expectationmodel.growth_neutrality_param_index);
                switch expectationmodel.growth_type
                  case 'parameter'
                    vgrowth = M_.param_names{expectationmodel.growth_index};
                  case 'endogenous'
                    vgrowth = M_.endo_names{expectationmodel.growth_index};
                  case 'exogenous'
                    vgrowth = M_.exo_names{expectationmodel.growth_index};
                  otherwise
                end
                if parameter>=0
                    expression = sprintf('%s*%s+%s*%s', num2str(pgrowth, '%1.16f'), vgrowth, num2str(parameter, '%1.16f'), variable);
                else
                    expression = sprintf('%s*%s-%s*%s', num2str(pgrowth, '%1.16f'), vgrowth, num2str(-parameter, '%1.16f'), variable);
                end
            else
                expression = sprintf('%s*%s', num2str(parameter, '%1.16f'), variable);
            end
        else
            if parameter>=0
                expression = sprintf('%s + %s*%s', expression, num2str(parameter, '%1.16f'), variable);
            else
                expression = sprintf('%s - %s*%s', expression, num2str(-parameter, '%1.16f'), variable);
            end
        end
    end
end

fprintf(fid, 'ds.%s = %s;', expectationmodelname, expression);
fclose(fid);