PAC: in the backward case, create an aux. var. for the pac_expectation expression
By the way, refactor the MCE case by merging two routines related to the Z₁ aux. var. This restores the symmetry with the backward case, now that the latter also has an aux. var. for the pac_expectation operator. Also store the aux. var. IDs in a structure common to the backward and MCE cases.pac-components
Sébastien Villemot
parent
0e62206203
commit
0f89569f7e
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@ -3783,11 +3783,14 @@ DynamicModel::getPacTargetSymbId(const string &pac_model_name) const
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}
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void
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DynamicModel::addPacModelConsistentExpectationEquation(const string &name, int discount_symb_id,
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int pac_eq_max_lag,
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ExprNode::subst_table_t &diff_subst_table,
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map<string, int> &pac_mce_z1_symb_ids,
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map<string, vector<int>> &pac_mce_alpha_symb_ids)
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DynamicModel::computePacModelConsistentExpectationSubstitution(const string &name,
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int discount_symb_id,
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int pac_eq_max_lag,
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expr_t growth_correction_term,
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ExprNode::subst_table_t &diff_subst_table,
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map<string, int> &pac_aux_var_symb_ids,
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map<string, vector<int>> &pac_mce_alpha_symb_ids,
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map<string, expr_t> &pac_expectation_substitution)
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{
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int pac_target_symb_id;
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try
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@ -3813,7 +3816,7 @@ DynamicModel::addPacModelConsistentExpectationEquation(const string &name, int d
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cerr << "The variable/parameter '" << varname << "' conflicts with the variable that will be generated for the Z_1 variable of the '" << name << "' PAC model. Please rename it." << endl;
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exit(EXIT_FAILURE);
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}
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pac_mce_z1_symb_ids[name] = mce_z1_symb_id;
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pac_aux_var_symb_ids[name] = mce_z1_symb_id;
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expr_t A = One;
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expr_t fp = Zero;
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@ -3913,18 +3916,11 @@ DynamicModel::addPacModelConsistentExpectationEquation(const string &name, int d
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neqs++;
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cout << "PAC Model Consistent Expectation: added " << neqs << " auxiliary variables and equations for model " << name << "." << endl;
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}
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void
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DynamicModel::computePacModelConsistentExpectationSubstitution(const string &name,
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expr_t growth_correction_term,
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int pac_mce_z1_symb_id,
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map<string, expr_t> &pac_expectation_substitution)
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{
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/* The growth correction term is not added to the definition of Z₁
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because the latter is recursive. Rather put it at the level of the
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substition of pac_expectation operator. */
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pac_expectation_substitution[name] = AddPlus(AddVariable(pac_mce_z1_symb_id), growth_correction_term);
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pac_expectation_substitution[name] = AddPlus(AddVariable(mce_z1_symb_id), growth_correction_term);
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}
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void
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@ -3934,6 +3930,7 @@ DynamicModel::computePacBackwardExpectationSubstitution(const string &name,
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const string &aux_model_type,
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const vector<bool> &nonstationary,
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expr_t growth_correction_term,
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map<string, int> &pac_aux_var_symb_ids,
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map<string, vector<int>> &pac_h0_indices,
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map<string, vector<int>> &pac_h1_indices,
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map<string, expr_t> &pac_expectation_substitution)
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@ -4001,7 +3998,21 @@ DynamicModel::computePacBackwardExpectationSubstitution(const string &name,
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}
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}
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pac_expectation_substitution[name] = AddPlus(subExpr, growth_correction_term);
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int expect_var_id;
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string expect_var_name = "pac_expectation_" + name;
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try
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{
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expect_var_id = symbol_table.addSymbol(expect_var_name, SymbolType::endogenous);
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}
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catch (SymbolTable::AlreadyDeclaredException &e)
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{
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cerr << "The variable/parameter '" << expect_var_name << "' conflicts with the variable that will be generated for the 'pac_expectation' expression of the '" << name << "' PAC model. Please rename it." << endl;
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exit(EXIT_FAILURE);
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}
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addEquation(AddEqual(AddVariable(expect_var_id), AddPlus(subExpr, growth_correction_term)), -1);
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pac_aux_var_symb_ids[name] = expect_var_id;
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pac_expectation_substitution[name] = AddVariable(expect_var_id);
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}
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void
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@ -528,20 +528,18 @@ public:
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//! Return target of the pac equation
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int getPacTargetSymbId(const string &pac_model_name) const;
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/* For a PAC MCE model, add the variable and the equation defining Z₁.
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The symbol IDs of the new endogenous and parameters are also added to
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pac_mce_{z1,alpha}_symb_ids. */
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void addPacModelConsistentExpectationEquation(const string &name, int discount,
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int pac_eq_max_lag,
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ExprNode::subst_table_t &diff_subst_table,
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map<string, int> &pac_mce_z1_symb_ids,
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map<string, vector<int>> &pac_mce_alpha_symb_ids);
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/* For a PAC MCE model, fill pac_expectation_substitution with the
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expression that will be substituted for the pac_expectation operator */
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expression that will be substituted for the pac_expectation operator.
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In the process, add the variable and the equation defining Z₁.
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The symbol IDs of the new endogenous are added to pac_aux_var_symb_ids,
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and the new auxiliary parameters to pac_mce_alpha_symb_ids.
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*/
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void computePacModelConsistentExpectationSubstitution(const string &name,
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int discount_symb_id, int pac_eq_max_lag,
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expr_t growth_correction_term,
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int pac_mce_z1_symb_id,
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ExprNode::subst_table_t &diff_subst_table,
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map<string, int> &pac_aux_var_symb_ids,
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map<string, vector<int>> &pac_mce_alpha_symb_ids,
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map<string, expr_t> &pac_expectation_substitution);
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@ -554,6 +552,7 @@ public:
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const string &aux_model_type,
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const vector<bool> &nonstationary,
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expr_t growth_correction_term,
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map<string, int> &pac_aux_var_symb_ids,
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map<string, vector<int>> &pac_h0_indices,
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map<string, vector<int>> &pac_h1_indices,
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map<string, expr_t> &pac_expectation_substitution);
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@ -884,27 +884,25 @@ PacModelTable::transformPass(ExprNode::subst_table_t &diff_subst_table,
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}
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}
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// In the MCE case, add the variable and the equation defining Z₁
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if (aux_model_name[name].empty())
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dynamic_model.addPacModelConsistentExpectationEquation(name, symbol_table.getID(discount[name]),
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pacEquationMaxLag(name),
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diff_subst_table,
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mce_z1_symb_ids, mce_alpha_symb_ids);
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// Compute the expressions that will be substituted for the pac_expectation operators
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expr_t growth_correction_term = dynamic_model.Zero;
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if (growth[name])
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growth_correction_term = dynamic_model.AddTimes(growth[name], dynamic_model.AddVariable(growth_neutrality_params[name]));
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if (aux_model_name[name].empty())
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dynamic_model.computePacModelConsistentExpectationSubstitution(name,
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symbol_table.getID(discount[name]),
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pacEquationMaxLag(name),
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growth_correction_term,
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mce_z1_symb_ids[name],
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diff_subst_table,
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aux_var_symb_ids,
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mce_alpha_symb_ids,
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pac_expectation_substitution);
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else
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dynamic_model.computePacBackwardExpectationSubstitution(name, lhs[name], max_lag,
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aux_model_type[name],
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nonstationary,
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growth_correction_term,
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aux_var_symb_ids,
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h0_indices, h1_indices,
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pac_expectation_substitution);
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}
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@ -986,10 +984,10 @@ PacModelTable::writeOutput(const string &basename, ostream &output) const
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output << "];" << endl;
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}
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// Write PAC Model Consistent Expectation Z1 info
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for (auto &[name, id] : mce_z1_symb_ids)
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output << "M_.pac." << name << ".mce.z1 = "
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<< symbol_table.getTypeSpecificID(id) + 1 << ";" << endl;
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// Write the auxiliary variable IDs created for the pac_expectation operator
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for (auto &[name, id] : aux_var_symb_ids)
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output << "M_.pac." << name << "." << (aux_model_name.at(name).empty() ? "mce.z1" : "aux_id")
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<< " = " << symbol_table.getTypeSpecificID(id) + 1 << ";" << endl;
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// Write PAC equation name info
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for (auto &[name, eq] : eq_name)
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@ -205,12 +205,17 @@ private:
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pac_model_name → eq_name */
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map<string, string> eq_name;
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/* Stores symb_ids for auxiliary endogenous created for the expression
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substituted to the pac_expectation operator:
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- in the backward case, this auxiliary contains exactly the
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pac_expectation value
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- in the MCE case, this auxiliary represents Z₁ (i.e. without the growth
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correction term)
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pac_model_name → symb_id */
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map<string, int> aux_var_symb_ids;
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/* Stores symb_ids for alphas created by DynamicModel::addPacModelConsistentExpectationEquation()
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pac_model_name → mce_alpha_symb_ids */
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map<string, vector<int>> mce_alpha_symb_ids;
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/* Stores symb_ids for z1s created by DynamicModel::addPacModelConsistentExpectationEquation()
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pac_model_name → mce_z1_symb_id */
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map<string, int> mce_z1_symb_ids;
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/* Stores symb_ids for h0, h1 parameters
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pac_model_name → parameter symb_ids */
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map<string, vector<int>> h0_indices, h1_indices;
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