405 lines
14 KiB
Matlab
405 lines
14 KiB
Matlab
function [Y, lhssub, X, residual, fp, lp] = parse_ols_style_equation(ds, ast)
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%function [Y, lhssub, X, residual, fp, lp] = parse_ols_style_equation(ds, ast)
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% Run OLS on chosen model equations; unlike olseqs, allow for time t
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% endogenous variables on LHS
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%
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% INPUTS
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% ds [dseries] data
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% ast [struct] AST representing the equation to be parsed
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%
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% OUTPUTS
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% Y [dseries] LHS of the equation (with lhssub subtracted)
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% lhssub [dseries] RHS subtracted from LHS
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% X [dseries] RHS of the equation
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% residual [string] name of residual in equation
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% fp [date] first common observed period between Y, lhssub, and X
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% lp [date] last common observed period between Y, lhssub, and X
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2019 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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%% Check inputs
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if nargin ~= 2
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error('parse_ols_style_equation takes 2 arguments')
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end
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if isempty(ds) || ~isdseries(ds)
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error('parse_ols_style_equation: arg 1 must be a dseries');
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end
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if isempty(ast) || ~isstruct(ast)
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error('parse_ols_style_equation: arg 2 must be a struct');
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end
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line = ast.line;
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if ~strcmp(ast.AST.node_type, 'BinaryOpNode') ...
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|| ~strcmp(ast.AST.op, '=')
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parsing_error('expecting equation with equal sign', line);
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end
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% Check LHS
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if ~strcmp(ast.AST.arg1.node_type, 'VariableNode') ...
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&& ~strcmp(ast.AST.arg1.node_type, 'UnaryOpNode')
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parsing_error('expecting Variable or UnaryOp on LHS', line);
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else
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if ~isOlsVar(ds, ast.AST.arg1) || ~isBaseVarLagEqualToZero(ast.AST.arg1)
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parsing_error('the LHS of the equation must be an Variable or UnaryOp with lag == 0 that exists in the dataset', line);
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end
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end
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%% Set LHS (Y)
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lhssub = dseries();
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Y = evalNode(ds, ast.AST.arg1, line, dseries());
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%% Set RHS (X)
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residual = '';
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X = dseries();
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terms = decomposeAdditiveTerms([], ast.AST.arg2, 1);
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for i = 1:length(terms)
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Xtmp = dseries();
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node_sign = terms{i}{2};
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node_to_parse = terms{i}{1};
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if strcmp(node_to_parse.node_type, 'VariableNode')
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if strcmp(node_to_parse.type, 'parameter')
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% Intercept
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Xtmp = dseries(1, ds.dates, node_to_parse.name)*node_sign;
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elseif strcmp(node_to_parse.type, 'exogenous') && ~any(strcmp(ds.name, node_to_parse.name))
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% Residual if not contained in ds
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if isempty(residual)
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residual = node_to_parse.name;
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else
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parsing_error(['only one residual allowed per equation; encountered ' residual ' & ' node_to_parse.name], line);
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end
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elseif strcmp(node_to_parse.type, 'endogenous') ...
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|| (strcmp(node_to_parse.type, 'exogenous') && any(strcmp(ds.name, node_to_parse.name)))
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% Subtract VariableNode from LHS
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% NB: treat exogenous that exist in ds as endogenous
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lhssub = lhssub + evalNode(ds, node_to_parse, line, dseries())*node_sign;
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else
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parsing_error('unexpected variable type found', line, node_to_parse);
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end
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elseif strcmp(node_to_parse.node_type, 'UnaryOpNode')
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% Subtract UnaryOpNode from LHS
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% NB: treat exogenous that exist in ds as endogenous
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lhssub = lhssub + evalNode(ds, node_to_parse, line, dseries());
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elseif strcmp(node_to_parse.node_type, 'BinaryOpNode') && strcmp(node_to_parse.op, '/')
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% Subtract Node from LHS
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% if either arg contains a parameter, it's a parsing error.
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if containsParameter(node_to_parse, line)
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parsing_error('unexpected node found', line, node_to_parse)
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end
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lhssub = lhssub + evalNode(ds, node_to_parse, line, dseries());
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elseif strcmp(node_to_parse.node_type, 'BinaryOpNode') && strcmp(node_to_parse.op, '*')
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% Parse param_expr * endog_expr
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[Xtmp, names] = parseTimesNode(ds, node_to_parse, line);
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Xtmp = Xtmp*node_sign;
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if Xtmp.vobs > 1 || ...
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(Xtmp.vobs == 1 && ~isnan(str2double(Xtmp.name)))
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% Handle constraits
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% Look through Xtmp names for constant
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% if found, subtract from LHS
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for j = 1:length(names)
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if strcmp(names{j}{1}.node_type, 'NumConstNode')
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pname = num2str(names{j}{1}.value);
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elseif strcmp(names{j}{1}.node_type, 'VariableNode')
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pname = names{j}{1}.name;
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else
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parsing_error('unexpected node type', node_to_parse, line);
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end
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psign = names{j}{2};
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if ~isnan(str2double(pname))
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lhssub = lhssub + psign * str2double(pname) * Xtmp.(pname);
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Xtmp = Xtmp.remove(pname);
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else
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% Multiply by psign now so that it can be added together below
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% Otherwise, it would matter which was encountered first,
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% a parameter on its own or a linear constraint
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Xtmp.(pname) = psign * Xtmp.(pname);
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end
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end
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end
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else
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parsing_error('didn''t expect to arrive here', line, node_to_parse);
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end
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names = Xtmp.name;
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for j = length(names):-1:1
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% Handle constraits
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if any(strcmp(X.name, names{j}))
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X.(names{j}) = X.(names{j}) + Xtmp.(names{j});
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Xtmp = Xtmp.remove(names{j});
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end
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end
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X = [X Xtmp];
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end
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Y = Y - lhssub;
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%% Set start and end dates
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fp = Y.firstobservedperiod;
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lp = Y.lastobservedperiod;
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if ~isempty(X)
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% X is empty when AR(1) without parameter is encountered
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fp = max(fp, X.firstobservedperiod);
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lp = min(lp, X.lastobservedperiod);
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end
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if ~isempty(lhssub)
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fp = max(fp, lhssub.firstobservedperiod);
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lp = min(lp, lhssub.lastobservedperiod);
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end
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% If it exists, account for tag set in mod file
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if isfield(ast, 'tags') ...
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&& isfield(ast.tags, 'sample') ...
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&& ~isempty(ast.tags.sample)
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colon_idx = strfind(ast.tags.sample, ':');
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fsd = dates(ast.tags.sample(1:colon_idx-1));
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lsd = dates(ast.tags.sample(colon_idx+1:end));
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if fp > fsd
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warning(['The sample over which you want to estimate contains NaNs. '...
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'Adjusting estimation range to begin on: ' fp.char])
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else
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fp = fsd;
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end
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if lp < lsd
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warning(['The sample over which you want to estimate contains NaNs. '...
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'Adjusting estimation range to end on: ' lp.char])
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else
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lp = lsd;
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end
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end
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Y = Y(fp:lp);
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if ~isempty(X)
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X = X(fp:lp);
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names = X.name;
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for i = 1:length(names)
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if all(X.(names{i}).data == 0)
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X = X.remove(names{i});
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end
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end
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end
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if ~isempty(lhssub)
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lhssub = lhssub(fp:lp);
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end
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end
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%% Helper Functions
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function parsing_error(msg, line, node)
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if nargin == 3 && ~isempty(node)
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error('\nERROR encountered parsing `%s` in equation on line %d: %s\n', printNode(node), line, msg);
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else
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error('\nERROR encountered parsing of equation on line %d: %s\n', line, msg)
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end
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end
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function str = printNode(node)
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if strcmp(node.node_type, 'NumConstNode')
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str = num2str(node.value);
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elseif strcmp(node.node_type, 'VariableNode')
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if strcmp(node.type, 'endogenous') || strcmp(node.type, 'exogenous')
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str = node.name;
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if node.lag ~= 0
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str = [str '(' num2str(node.lag) ')'];
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end
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elseif strcmp(node.type, 'parameter')
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str = node.name;
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end
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elseif strcmp(node.node_type, 'UnaryOpNode')
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str = printNode(node.arg);
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str = [node.op '(' str ')'];
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elseif strcmp(node.node_type, 'BinaryOpNode')
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str = ['(' printNode(node.arg1) node.op printNode(node.arg2) ')'];
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end
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end
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function terms = decomposeAdditiveTerms(terms, node, node_sign)
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if strcmp(node.node_type, 'NumConstNode') || strcmp(node.node_type, 'VariableNode')
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terms = [terms {{node node_sign}}];
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elseif strcmp(node.node_type, 'UnaryOpNode')
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if strcmp(node.op, 'uminus')
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terms = decomposeAdditiveTerms(terms, node.arg, -node_sign);
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else
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terms = [terms {{node node_sign}}];
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end
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elseif strcmp(node.node_type, 'BinaryOpNode')
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if strcmp(node.op, '+') || strcmp(node.op, '-')
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terms = decomposeAdditiveTerms(terms, node.arg1, node_sign);
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if strcmp(node.op, '+')
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terms = decomposeAdditiveTerms(terms, node.arg2, node_sign);
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else
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terms = decomposeAdditiveTerms(terms, node.arg2, -node_sign);
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end
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else
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terms = [terms {{node node_sign}}];
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end
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else
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terms = [terms {{node node_sign}}];
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end
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end
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function [X, pterms] = parseTimesNode(ds, node, line)
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% Separate the parameter expression from the endogenous expression
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assert(strcmp(node.node_type, 'BinaryOpNode') && strcmp(node.op, '*'))
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if isOlsParamExpr(node.arg1, line)
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pterms = decomposeAdditiveTerms([], node.arg1, 1);
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X = evalNode(ds, node.arg2, line, dseries());
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elseif isOlsParamExpr(node.arg2, line)
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pterms = decomposeAdditiveTerms([], node.arg2, 1);
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X = evalNode(ds, node.arg1, line, dseries());
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else
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parsing_error('expecting (param expr)*(var expr)', line, node);
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end
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if strcmp(pterms{1}{1}.node_type, 'NumConstNode')
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X = X.rename(num2str(pterms{1}{1}.value));
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elseif strcmp(pterms{1}{1}.node_type, 'VariableNode')
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X = X.rename(pterms{1}{1}.name);
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else
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parsing_error('unexpected type', line, node)
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end
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for ii = 2:length(pterms)
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if strcmp(pterms{ii}{1}.node_type, 'NumConstNode')
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X = [X dseries(X{1}.data, X{1}.firstdate, num2str(pterms{ii}{1}.value))];
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elseif strcmp(pterms{ii}{1}.node_type, 'VariableNode')
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X = [X dseries(X{1}.data, X{1}.firstdate, pterms{ii}{1}.name)];
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else
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parsing_error('unexpected type', line, node)
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end
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end
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end
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function tf = isBaseVarLagEqualToZero(node)
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if strcmp(node.node_type, 'VariableNode')
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tf = node.lag == 0;
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elseif strcmp(node.node_type, 'UnaryOpNode')
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tf = isBaseVarLagEqualToZero(node.arg);
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else
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tf = false;
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end
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end
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function tf = isOlsVar(ds, node)
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if strcmp(node.node_type, 'VariableNode') ...
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&& (strcmp(node.type, 'endogenous') ...
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|| (strcmp(node.type, 'exogenous') && any(strcmp(ds.name, node.name))))
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tf = true;
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elseif strcmp(node.node_type, 'UnaryOpNode')
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tf = isOlsVar(ds, node.arg);
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else
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tf = false;
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end
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end
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function X = evalNode(ds, node, line, X)
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global M_
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if strcmp(node.node_type, 'NumConstNode')
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X = dseries(node.value, ds.dates, 'const');
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elseif strcmp(node.node_type, 'VariableNode')
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if strcmp(node.type, 'endogenous') ...
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|| (strcmp(node.type, 'exogenous') && any(strcmp(ds.name, node.name)))
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if ds.exist(node.name)
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X = ds.(node.name)(node.lag);
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else
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error('Variable %s is not available in the database.', node.name)
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end
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elseif strcmp(node.type, 'parameter')
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X = M_.params(not(cellfun('isempty', strfind(M_.param_names, node.name))));
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if isnan(X) || isinf(X) || ~isreal(X)
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parsing_error(['Value incorrectly set for parameter: ' node.name], line);
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end
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end
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elseif strcmp(node.node_type, 'UnaryOpNode')
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Xtmp = evalNode(ds, node.arg, line, X);
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% Only works if dseries supports . notation for unary op (true for log/diff)
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% Otherwise, use: X = eval([node.op '(Xtmp)']);
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try
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if strcmp(node.op, 'uminus')
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X = -Xtmp;
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else
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X = Xtmp.(node.op);
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end
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if any(isinf(X)) || ~isreal(X)
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parsing_error(['Error applying ' node.op], line, node);
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end
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catch
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parsing_error(['Error applying ' node.op], line, node);
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end
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elseif strcmp(node.node_type, 'BinaryOpNode')
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Xtmp1 = evalNode(ds, node.arg1, line, X);
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Xtmp2 = evalNode(ds, node.arg2, line, X);
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switch node.op
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case '*'
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Xtmp = Xtmp1 * Xtmp2;
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case '/'
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Xtmp = Xtmp1 / Xtmp2;
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case '+'
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Xtmp = Xtmp1 + Xtmp2;
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case '-'
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Xtmp = Xtmp1 - Xtmp2;
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otherwise
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parsing_error(['got unexpected binary op ' node.op], line, node);
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end
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if any(isinf(Xtmp)) || ~isreal(Xtmp)
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parsing_error(['Error applying ' node.op], line, node);
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end
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X = X + Xtmp;
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else
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parsing_error(['got unexpected node type ' node.node_type], line, node);
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end
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end
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function tf = isOlsParamExpr(node, line)
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if strcmp(node.node_type, 'NumConstNode')
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tf = true;
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elseif strcmp(node.node_type, 'VariableNode')
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if strcmp(node.type, 'parameter')
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tf = true;
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else
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tf = false;
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end
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elseif strcmp(node.node_type, 'UnaryOpNode')
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tf = false;
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elseif strcmp(node.node_type, 'BinaryOpNode')
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tf = isOlsParamExpr(node.arg1, line) && isOlsParamExpr(node.arg2, line);
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if tf && ~strcmp(node.op, '-')
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parsing_error(['got unexpected op ' node.op], line, node);
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end
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else
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parsing_error(['got unexpected type ' node.node_type], line, node);
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end
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end
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function tf = containsParameter(node, line)
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if strcmp(node.node_type, 'NumConstNode')
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tf = false;
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elseif strcmp(node.node_type, 'VariableNode')
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if strcmp(node.type, 'parameter')
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tf = true;
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else
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tf = false;
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end
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elseif strcmp(node.node_type, 'UnaryOpNode')
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tf = containsParameter(node.arg, line);
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elseif strcmp(node.node_type, 'BinaryOpNode')
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tf = containsParameter(node.arg1, line) || containsParameter(node.arg2, line);
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else
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parsing_error(['got unexpected type ' node.node_type], line, node);
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end
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end
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