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Merge branch 'master' into ecb-master 

Fixed conflicts in:
	matlab/backward/backward_model_irf.m
	matlab/modules/dseries
	matlab/utilities/general/isint.m
	preprocessor/DynareBison.yy
	preprocessor/DynareFlex.ll
	preprocessor/ModFile.cc
	preprocessor/ParsingDriver.hh
issue#70
Stéphane Adjemian(Charybdis) 2017-10-14 17:12:57 +02:00
parent 16dc22b611 dad94a7d58
commit 26bc8d50b6
14 changed files with 640 additions and 156 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

140
ComputingTasks.cc
View File

@ -2053,7 +2053,7 @@ PlannerObjectiveStatement::getPlannerObjective() const
void
PlannerObjectiveStatement::computingPass()
{
model_tree->computingPass(eval_context_t(), false, true, true, none, false, false);
model_tree->computingPass(eval_context_t(), false, true, true, none, false, false, false);
computing_pass_called = true;
}
@ -4686,3 +4686,141 @@ Smoother2histvalStatement::writeJsonOutput(ostream &output) const
}
output << "}";
}
GMMEstimationStatement::GMMEstimationStatement(const SymbolList &symbol_list_arg,
const OptionsList &options_list_arg) :
symbol_list(symbol_list_arg),
options_list(options_list_arg)
{
}
void
GMMEstimationStatement::writeOutput(ostream &output, const string &basename, bool minimal_workspace) const
{
symbol_list.writeOutput("var_list_", output);
options_list.writeOutput(output);
output << "[M_, oo_, estim_params_, bayestopt_, dataset_, dataset_info] = "
<< "GMM_SMM_estimation_core(var_list_, M_, options_, oo_, estim_params_, bayestopt_, dataset_, dataset_info, 'GMM');" << endl;
}
void
GMMEstimationStatement::writeJsonOutput(ostream &output) const
{
output << "{\"statementName\": \"gmm_estimation\"";
if (options_list.getNumberOfOptions())
{
output << ", ";
options_list.writeJsonOutput(output);
}
if (!symbol_list.empty())
{
output << ", ";
symbol_list.writeJsonOutput(output);
}
output << "}";
}
SMMEstimationStatement::SMMEstimationStatement(const SymbolList &symbol_list_arg,
const OptionsList &options_list_arg) :
symbol_list(symbol_list_arg),
options_list(options_list_arg)
{
}
void
SMMEstimationStatement::writeOutput(ostream &output, const string &basename, bool minimal_workspace) const
{
symbol_list.writeOutput("var_list_", output);
options_list.writeOutput(output);
output << "[M_, oo_, estim_params_, bayestopt_, dataset_, dataset_info] = "
<< "GMM_SMM_estimation_core(var_list_, M_, options_, oo_, estim_params_, bayestopt_, dataset_, dataset_info, 'SMM');" << endl;
}
void
SMMEstimationStatement::writeJsonOutput(ostream &output) const
{
output << "{\"statementName\": \"smm_estimation\"";
if (options_list.getNumberOfOptions())
{
output << ", ";
options_list.writeJsonOutput(output);
}
if (!symbol_list.empty())
{
output << ", ";
symbol_list.writeJsonOutput(output);
}
output << "}";
}
GenerateIRFsStatement::GenerateIRFsStatement(const OptionsList &options_list_arg,
const vector<string> &generate_irf_names_arg,
const vector<map<string, double> > &generate_irf_elements_arg) :
options_list(options_list_arg),
generate_irf_names(generate_irf_names_arg),
generate_irf_elements(generate_irf_elements_arg)
{
}
void
GenerateIRFsStatement::writeOutput(ostream &output, const string &basename, bool minimal_workspace) const
{
options_list.writeOutput(output);
if (generate_irf_names.empty())
return;
output << "options_.irf_opt.irf_shock_graphtitles = { ";
for (vector<string>::const_iterator it = generate_irf_names.begin();
it != generate_irf_names.end(); it++)
output << "'" << *it << "'; ";
output << "};" << endl;
output << "options_.irf_opt.irf_shocks = zeros(M_.exo_nbr, "
<< generate_irf_names.size() << ");" << endl;
for (size_t i = 0; i < generate_irf_names.size(); i++)
{
map<string, double> m = generate_irf_elements[i];
for (map<string, double>::const_iterator it = m.begin();
it != m.end(); it++)
output << "options_.irf_opt.irf_shocks(M_.exo_names == '"
<< it->first << "', " << i + 1 << ") = "
<< it->second << ";" << endl;
}
}
void
GenerateIRFsStatement::writeJsonOutput(ostream &output) const
{
output << "{\"statementName\": \"generate_irfs\"";
if (options_list.getNumberOfOptions())
{
output << ", ";
options_list.writeJsonOutput(output);
}
if (!generate_irf_names.empty())
{
output << ", \"irf_elements\": [";
for (size_t i = 0; i < generate_irf_names.size(); i++)
{
output << "{\"name\": \"" << generate_irf_names[i] << "\", \"shocks\": [";
map<string, double> m = generate_irf_elements[i];
size_t idx = 0;
for (map<string, double>::const_iterator it = m.begin();
it != m.end(); it++, idx++)
{
output << "{\"exogenous_variable\": \"" << it->first << "\", "
<< "\"exogenous_variable_value\": \"" << it->second << "\"}";
if (idx + 1 < m.size())
output << ", ";
}
output << "]}";
if (i + 1 < generate_irf_names.size())
output << ", ";
}
output << "]";
}
output << "}";
}

37
ComputingTasks.hh
View File

@ -1138,4 +1138,41 @@ public:
virtual void writeJsonOutput(ostream &output) const;
};
class GMMEstimationStatement : public Statement
{
private:
const SymbolList symbol_list;
const OptionsList options_list;
public:
GMMEstimationStatement(const SymbolList &symbol_list_arg, const OptionsList &options_list_arg);
virtual void writeOutput(ostream &output, const string &basename, bool minimal_workspace) const;
virtual void writeJsonOutput(ostream &output) const;
};
class SMMEstimationStatement : public Statement
{
private:
const SymbolList symbol_list;
const OptionsList options_list;
public:
SMMEstimationStatement(const SymbolList &symbol_list_arg, const OptionsList &options_list_arg);
virtual void writeOutput(ostream &output, const string &basename, bool minimal_workspace) const;
virtual void writeJsonOutput(ostream &output) const;
};
class GenerateIRFsStatement : public Statement
{
public:
private:
const OptionsList options_list;
const vector<string> generate_irf_names;
const vector<map<string, double> > generate_irf_elements;
public:
GenerateIRFsStatement(const OptionsList &options_list_arg,
const vector<string> &generate_irf_names_arg,
const vector<map<string, double> > &generate_irf_elements_arg);
virtual void writeOutput(ostream &output, const string &basename, bool minimal_workspace) const;
virtual void writeJsonOutput(ostream &output) const;
};
#endif

120
DynamicModel.cc
View File

@ -2539,6 +2539,7 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
DynamicOutput << "#=" << endl << comments.str() << "=#" << endl
<< " @assert size(g2) == (" << nrows << ", " << hessianColsNbr << ")" << endl
<< " fill!(g2, 0.0)" << endl
<< " dynamic!(y, x, params, steady_state, it_, residual, g1)" << endl;
if (second_derivatives.size())
DynamicOutput << model_local_vars_output.str()
@ -2562,6 +2563,7 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
DynamicOutput << "#=" << endl << comments.str() << "=#" << endl
<< " @assert size(g3) == (" << nrows << ", " << ncols << ")" << endl
<< " fill!(g3, 0.0)" << endl
<< " dynamic!(y, x, params, steady_state, it_, residual, g1, g2)" << endl;
if (third_derivatives.size())
DynamicOutput << model_local_vars_output.str()
@ -3270,7 +3272,7 @@ DynamicModel::addEquationsForVar(map<string, pair<SymbolList, int> > var_model_i
void
DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, int paramsDerivsOrder,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll,
bool bytecode)
bool bytecode, const bool nopreprocessoroutput)
{
assert(jacobianExo || !(hessian || thirdDerivatives || paramsDerivsOrder));
@ -3293,19 +3295,22 @@ DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivative
}
// Launch computations
cout << "Computing dynamic model derivatives:" << endl
<< " - order 1" << endl;
if (!nopreprocessoroutput)
cout << "Computing dynamic model derivatives:" << endl
<< " - order 1" << endl;
computeJacobian(vars);
if (hessian)
{
cout << " - order 2" << endl;
if (!nopreprocessoroutput)
cout << " - order 2" << endl;
computeHessian(vars);
}
if (paramsDerivsOrder > 0)
{
cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
if (!nopreprocessoroutput)
cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
computeParamsDerivatives(paramsDerivsOrder);
if (!no_tmp_terms)
@ -3314,7 +3319,8 @@ DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivative
if (thirdDerivatives)
{
cout << " - order 3" << endl;
if (!nopreprocessoroutput)
cout << " - order 3" << endl;
computeThirdDerivatives(vars);
}
@ -3336,7 +3342,8 @@ DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivative
equation_type_and_normalized_equation = equationTypeDetermination(first_order_endo_derivatives, variable_reordered, equation_reordered, mfs);
cout << "Finding the optimal block decomposition of the model ...\n";
if (!nopreprocessoroutput)
cout << "Finding the optimal block decomposition of the model ...\n";
lag_lead_vector_t equation_lag_lead, variable_lag_lead;
@ -3858,7 +3865,7 @@ DynamicModel::replaceMyEquations(DynamicModel &dynamic_model) const
}
void
DynamicModel::computeRamseyPolicyFOCs(const StaticModel &static_model)
DynamicModel::computeRamseyPolicyFOCs(const StaticModel &static_model, const bool nopreprocessoroutput)
{
// Add aux LM to constraints in equations
// equation[i]->lhs = rhs becomes equation[i]->MULT_(i+1)*(lhs-rhs) = 0
@ -3869,8 +3876,8 @@ DynamicModel::computeRamseyPolicyFOCs(const StaticModel &static_model)
assert(substeq != NULL);
equations[i] = substeq;
}
cout << "Ramsey Problem: added " << i << " Multipliers." << endl;
if (!nopreprocessoroutput)
cout << "Ramsey Problem: added " << i << " Multipliers." << endl;
// Add Planner Objective to equations to include in computeDerivIDs
assert(static_model.equations.size() == 1);
@ -5632,84 +5639,43 @@ DynamicModel::writeJsonOutput(ostream &output) const
writeJsonXrefs(output);
}
void
DynamicModel::writeJsonXrefsHelper(ostream &output, const map<pair<int, int>, set<int> > &xrefs) const
{
for (map<pair<int, int>, set<int> >::const_iterator it = xrefs.begin();
it != xrefs.end(); it++)
{
if (it != xrefs.begin())
output << ", ";
output << "{\"name\": \"" << symbol_table.getName(it->first.first) << "\""
<< ", \"shift\": " << it->first.second
<< ", \"equations\": [";
for (set<int>::const_iterator it1 = it->second.begin();
it1 != it->second.end(); it1++)
{
if (it1 != it->second.begin())
output << ", ";
output << *it1 + 1;
}
output << "]}";
}
}
void
DynamicModel::writeJsonXrefs(ostream &output) const
{
output << "\"xrefs\": {"
<< "\"parameters\": [";
for (map<pair<int, int>, set<int> >::const_iterator it = xref_param.begin();
it != xref_param.end(); it++)
{
if (it != xref_param.begin())
output << ", ";
output << "{\"parameter\": \"" << symbol_table.getName(it->first.first) << "\""
<< ", \"equations\": [";
for (set<int>::const_iterator it1 = it->second.begin();
it1 != it->second.end(); it1++)
{
if (it1 != it->second.begin())
output << ", ";
output << *it1 + 1;
}
output << "]}";
}
writeJsonXrefsHelper(output, xref_param);
output << "]"
<< ", \"endogenous\": [";
for (map<pair<int, int>, set<int> >::const_iterator it = xref_endo.begin();
it != xref_endo.end(); it++)
{
if (it != xref_endo.begin())
output << ", ";
output << "{\"endogenous\": \"" << symbol_table.getName(it->first.first) << "\""
<< ", \"shift\": " << it->first.second
<< ", \"equations\": [";
for (set<int>::const_iterator it1 = it->second.begin();
it1 != it->second.end(); it1++)
{
if (it1 != it->second.begin())
output << ", ";
output << *it1 + 1;
}
output << "]}";
}
writeJsonXrefsHelper(output, xref_endo);
output << "]"
<< ", \"exogenous\": [";
for (map<pair<int, int>, set<int> >::const_iterator it = xref_exo.begin();
it != xref_exo.end(); it++)
{
if (it != xref_exo.begin())
output << ", ";
output << "{\"exogenous\": \"" << symbol_table.getName(it->first.first) << "\""
<< ", \"shift\": " << it->first.second
<< ", \"equations\": [";
for (set<int>::const_iterator it1 = it->second.begin();
it1 != it->second.end(); it1++)
{
if (it1 != it->second.begin())
output << ", ";
output << *it1 + 1;
}
output << "]}";
}
writeJsonXrefsHelper(output, xref_exo);
output << "]"
<< ", \"exogenous_deterministic\": [";
for (map<pair<int, int>, set<int> >::const_iterator it = xref_exo_det.begin();
it != xref_exo_det.end(); it++)
{
if (it != xref_exo_det.begin())
output << ", ";
output << "{\"exogenous_det\": \"" << symbol_table.getName(it->first.first) << "\""
<< ", \"shift\": " << it->first.second
<< ", \"equations\": [";
for (set<int>::const_iterator it1 = it->second.begin();
it1 != it->second.end(); it1++)
{
if (it1 != it->second.begin())
output << ", ";
output << *it1 + 1;
}
output << "]}";
}
writeJsonXrefsHelper(output, xref_exo_det);
output << "]}" << endl;
}

5
DynamicModel.hh
View File

@ -248,7 +248,7 @@ public:
\param no_tmp_terms if true, no temporary terms will be computed in the dynamic files
*/
void computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, int paramsDerivsOrder,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll, bool bytecode);
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll, bool bytecode, const bool nopreprocessoroutput);
//! Writes model initialization and lead/lag incidence matrix to output
void writeOutput(ostream &output, const string &basename, bool block, bool byte_code, bool use_dll, int order, bool estimation_present, bool compute_xrefs, bool julia) const;
@ -269,6 +269,7 @@ public:
//! Write cross reference output if the xref maps have been filed
void writeJsonXrefs(ostream &output) const;
void writeJsonXrefsHelper(ostream &output, const map<pair<int, int>, set<int> > &xrefs) const;
//! Return true if the hessian is equal to zero
inline bool checkHessianZero() const;
@ -306,7 +307,7 @@ public:
void cloneDynamic(DynamicModel &dynamic_model) const;
//! Replaces model equations with derivatives of Lagrangian w.r.t. endogenous
void computeRamseyPolicyFOCs(const StaticModel &static_model);
void computeRamseyPolicyFOCs(const StaticModel &static_model, const bool nopreprocessoroutput);
//! Replaces the model equations in dynamic_model with those in this model
void replaceMyEquations(DynamicModel &dynamic_model) const;

213
DynareBison.yy
View File

@ -113,9 +113,9 @@ class ParsingDriver;
%token CPF_WEIGHTS AMISANOTRISTANI MURRAYJONESPARSLOW WRITE_EQUATION_TAGS METHOD
%token NONLINEAR_FILTER_INITIALIZATION FILTER_ALGORITHM PROPOSAL_APPROXIMATION CUBATURE UNSCENTED MONTECARLO DISTRIBUTION_APPROXIMATION
%token <string_val> NAME
%token USE_PENALIZED_OBJECTIVE_FOR_HESSIAN INIT_STATE RESCALE_PREDICTION_ERROR_COVARIANCE
%token USE_PENALIZED_OBJECTIVE_FOR_HESSIAN INIT_STATE RESCALE_PREDICTION_ERROR_COVARIANCE GENERATE_IRFS
%token NAN_CONSTANT NO_STATIC NOBS NOCONSTANT NODISPLAY NOCORR NODIAGNOSTIC NOFUNCTIONS NO_HOMOTOPY
%token NOGRAPH POSTERIOR_NOGRAPH POSTERIOR_GRAPH NOMOMENTS NOPRINT NORMAL_PDF SAVE_DRAWS MODEL_NAME
%token NOGRAPH POSTERIOR_NOGRAPH POSTERIOR_GRAPH NOMOMENTS NOPRINT NORMAL_PDF SAVE_DRAWS MODEL_NAME STDERR_MULTIPLES DIAGONAL_ONLY
%token OBSERVATION_TRENDS OPTIM OPTIM_WEIGHTS ORDER OSR OSR_PARAMS MAX_DIM_COVA_GROUP ADVANCED OUTFILE OUTVARS OVERWRITE
%token PARALLEL_LOCAL_FILES PARAMETERS PARAMETER_SET PARTIAL_INFORMATION PERIODS PERIOD PLANNER_OBJECTIVE PLOT_CONDITIONAL_FORECAST PLOT_PRIORS PREFILTER PRESAMPLE
%token PERFECT_FORESIGHT_SETUP PERFECT_FORESIGHT_SOLVER NO_POSTERIOR_KERNEL_DENSITY FUNCTION
@ -151,7 +151,7 @@ class ParsingDriver;
%token VLISTLOG VLISTPER SPECTRAL_DENSITY
%token RESTRICTION RESTRICTION_FNAME CROSS_RESTRICTIONS NLAGS CONTEMP_REDUCED_FORM REAL_PSEUDO_FORECAST
%token DUMMY_OBS NSTATES INDXSCALESSTATES NO_BAYESIAN_PRIOR SPECIFICATION SIMS_ZHA
%token <string_val> ALPHA BETA ABAND NINV CMS NCMS CNUM GAMMA INV_GAMMA INV_GAMMA1 INV_GAMMA2 NORMAL UNIFORM EPS PDF FIG DR NONE PRIOR PRIOR_VARIANCE HESSIAN IDENTITY_MATRIX DIRICHLET
%token <string_val> ALPHA BETA ABAND NINV CMS NCMS CNUM GAMMA INV_GAMMA INV_GAMMA1 INV_GAMMA2 NORMAL UNIFORM EPS PDF FIG DR NONE PRIOR PRIOR_VARIANCE HESSIAN IDENTITY_MATRIX DIRICHLET DIAGONAL OPTIMAL
%token GSIG2_LMDM Q_DIAG FLAT_PRIOR NCSK NSTD WEIBULL WEIBULL_PDF
%token INDXPARR INDXOVR INDXAP APBAND INDXIMF IMFBAND INDXFORE FOREBAND INDXGFOREHAT INDXGIMFHAT
%token INDXESTIMA INDXGDLS EQ_MS FILTER_COVARIANCE FILTER_DECOMPOSITION SMOOTHED_STATE_UNCERTAINTY
@ -168,13 +168,17 @@ class ParsingDriver;
%token SHOCK_DRAWS FREE_PARAMETERS MEDIAN DATA_OBS_NBR NEIGHBORHOOD_WIDTH PVALUE_KS PVALUE_CORR
%token FILTERED_PROBABILITIES REAL_TIME_SMOOTHED PRIOR_FUNCTION POSTERIOR_FUNCTION SAMPLING_DRAWS
%token PROPOSAL_TYPE PROPOSAL_UPPER_BOUND PROPOSAL_LOWER_BOUND PROPOSAL_DRAWS USE_MEAN_CENTER
%token ADAPTIVE_MH_DRAWS THINNING_FACTOR COEFFICIENTS_PRIOR_HYPERPARAMETERS
%token ADAPTIVE_MH_DRAWS THINNING_FACTOR COEFFICIENTS_PRIOR_HYPERPARAMETERS SMM_ESTIMATION GMM_ESTIMATION
%token CONVERGENCE_STARTING_VALUE CONVERGENCE_ENDING_VALUE CONVERGENCE_INCREMENT_VALUE
%token MAX_ITERATIONS_STARTING_VALUE MAX_ITERATIONS_INCREMENT_VALUE MAX_BLOCK_ITERATIONS
%token MAX_REPEATED_OPTIMIZATION_RUNS FUNCTION_CONVERGENCE_CRITERION SAVE_REALTIME
%token PARAMETER_CONVERGENCE_CRITERION NUMBER_OF_LARGE_PERTURBATIONS NUMBER_OF_SMALL_PERTURBATIONS
%token NUMBER_OF_POSTERIOR_DRAWS_AFTER_PERTURBATION MAX_NUMBER_OF_STAGES
%token RANDOM_FUNCTION_CONVERGENCE_CRITERION RANDOM_PARAMETER_CONVERGENCE_CRITERION
%token CENTERED_MOMENTS AUTOLAG RECURSIVE_ORDER_ESTIMATION BARTLETT_KERNEL_LAG WEIGHTING_MATRIX PENALIZED_ESTIMATOR VERBOSE
%token SIMULATION_MULTIPLE SEED BOUNDED_SHOCK_SUPPORT
%token ANALYTICAL_GIRF IRF_IN_PERCENT EMAS_GIRF EMAS_DROP EMAS_TOLF EMAS_MAX_ITER
%token <vector_string_val> SYMBOL_VEC
%type <node_val> expression expression_or_empty
@ -280,6 +284,7 @@ statement : parameters
| external_function
| steady_state_model
| trend_var
| generate_irfs
| log_trend_var
| ms_estimation
| ms_simulation
@ -299,6 +304,8 @@ statement : parameters
| perfect_foresight_solver
| prior_function
| posterior_function
| gmm_estimation
| smm_estimation
| shock_groups
;
@ -1215,6 +1222,100 @@ perfect_foresight_solver_options : o_stack_solve_algo
| o_pf_tolx
;
gmm_smm_common_option : o_datafile
| o_nobs
| o_first_obs
| o_optim
| o_mode_file
| o_mode_compute
| o_prior_trunc
| o_loglinear
| o_logdata
| o_relative_irf
| o_irf
| o_tex
| o_xls_sheet
| o_xls_range
| o_solve_algo
| o_plot_priors
| o_aim_solver
| o_selected_variables_only
| o_irf_shocks
| o_sylvester
| o_sylvester_fixed_point_tol
| o_lyapunov
| o_lyapunov_fixed_point_tol
| o_lyapunov_doubling_tol
| o_dr
| o_dr_cycle_reduction_tol
| o_dr_logarithmic_reduction_tol
| o_dr_logarithmic_reduction_maxiter
| o_qz_zero_threshold
| o_irf_plot_threshold
| o_consider_all_endogenous
| o_consider_only_observed
| o_dirname
| o_huge_number
| o_silent_optimizer
| o_nograph
| o_nodisplay
| o_graph_format
| o_analytical_girf
| o_irf_in_percent
| o_emas_girf
| o_emas_drop
| o_emas_tolf
| o_emas_max_iter
| o_stderr_multiples
| o_diagonal_only
;
gmm_estimation : GMM_ESTIMATION '(' gmm_estimation_options_list ')' ';'
{ driver.gmm_estimation(); }
| GMM_ESTIMATION '(' gmm_estimation_options_list ')' symbol_list ';'
{ driver.gmm_estimation(); }
;
gmm_estimation_options_list : gmm_estimation_option COMMA gmm_estimation_options_list
| gmm_estimation_option
;
gmm_estimation_option : gmm_smm_common_option
| o_gmm_order
| o_gmm_centered_moments
| o_gmm_autolag
| o_gmm_recursive_order_estimation
| o_gmm_bartlett_kernel_lag
| o_gmm_weighting_matrix
| o_gmm_penalized_estimator
| o_gmm_verbose
;
smm_estimation : SMM_ESTIMATION '(' smm_estimation_options_list ')' ';'
{ driver.smm_estimation(); }
| SMM_ESTIMATION '(' smm_estimation_options_list ')' symbol_list ';'
{ driver.smm_estimation(); }
;
smm_estimation_options_list : smm_estimation_option COMMA smm_estimation_options_list
| smm_estimation_option
;
smm_estimation_option : gmm_smm_common_option
| o_smm_order
| o_smm_centered_moments
| o_smm_autolag
| o_smm_recursive_order_estimation
| o_smm_bartlett_kernel_lag
| o_smm_weighting_matrix
| o_smm_penalized_estimator
| o_smm_verbose
| o_smm_simulation_multiple
| o_smm_drop
| o_smm_seed
| o_smm_bounded_shock_support
;
prior_function : PRIOR_FUNCTION '(' prior_posterior_function_options_list ')' ';'
{ driver.prior_posterior_function(true); }
;
@ -1291,6 +1392,14 @@ stoch_simul_primary_options : o_dr_algo
| o_irf
| o_irf_shocks
| o_relative_irf
| o_analytical_girf
| o_irf_in_percent
| o_emas_girf
| o_emas_drop
| o_emas_tolf
| o_emas_max_iter
| o_stderr_multiples
| o_diagonal_only
| o_hp_filter
| o_hp_ngrid
| o_periods
@ -1975,6 +2084,14 @@ estimation_options : o_datafile
| o_keep_kalman_algo_if_singularity_is_detected
| o_use_penalized_objective_for_hessian
| o_rescale_prediction_error_covariance
| o_analytical_girf
| o_irf_in_percent
| o_emas_girf
| o_emas_drop
| o_emas_tolf
| o_emas_max_iter
| o_stderr_multiples
| o_diagonal_only
;
list_optim_option : QUOTED_STRING COMMA QUOTED_STRING
@ -2843,6 +2960,38 @@ calib_smoother_option : o_filtered_vars
| o_parameter_set
;
generate_irfs : GENERATE_IRFS ';' END ';'
{ driver.end_generate_irfs(); }
| GENERATE_IRFS ';' generate_irfs_element_list END ';'
{ driver.end_generate_irfs(); }
| GENERATE_IRFS '(' generate_irfs_options_list ')' ';' END ';'
{ driver.end_generate_irfs(); }
| GENERATE_IRFS '(' generate_irfs_options_list ')' ';' generate_irfs_element_list END ';'
{ driver.end_generate_irfs(); }
;
generate_irfs_options_list : generate_irfs_option COMMA generate_irfs_options_list
| generate_irfs_option
;
generate_irfs_option : o_stderr_multiples
| o_diagonal_only
;
generate_irfs_element_list : generate_irfs_element_list generate_irfs_element
| generate_irfs_element
;
generate_irfs_element : NAME COMMA generate_irfs_exog_element_list ';'
{ driver.add_generate_irfs_element($1); }
;
generate_irfs_exog_element_list : generate_irfs_exog_element_list COMMA symbol EQUAL signed_number
{ driver.add_generate_irfs_exog_element($3, $5); }
| symbol EQUAL signed_number
{ driver.add_generate_irfs_exog_element($1, $3); }
;
extended_path : EXTENDED_PATH ';'
{ driver.extended_path(); }
| EXTENDED_PATH '(' extended_path_options_list ')' ';'
@ -3238,7 +3387,8 @@ o_bvar_prior_omega : BVAR_PRIOR_OMEGA EQUAL INT_NUMBER { driver.option_num("bvar
o_bvar_prior_flat : BVAR_PRIOR_FLAT { driver.option_num("bvar_prior_flat", "1"); };
o_bvar_prior_train : BVAR_PRIOR_TRAIN EQUAL INT_NUMBER { driver.option_num("bvar_prior_train", $3); };
o_bvar_replic : BVAR_REPLIC EQUAL INT_NUMBER { driver.option_num("bvar_replic", $3); };
o_stderr_multiples : STDERR_MULTIPLES { driver.option_num("irf_opt.stderr_multiples", "1"); };
o_diagonal_only : DIAGONAL_ONLY { driver.option_num("irf_opt.diagonal_only", "1"); };
o_number_of_particles : NUMBER_OF_PARTICLES EQUAL INT_NUMBER { driver.option_num("particle.number_of_particles", $3); };
o_resampling : RESAMPLING EQUAL SYSTEMATIC
| RESAMPLING EQUAL NONE {driver.option_num("particle.resampling.status.systematic", "0"); driver.option_num("particle.resampling.status.none", "1"); }
@ -3542,6 +3692,59 @@ o_use_shock_groups : USE_SHOCK_GROUPS { driver.option_str("plot_shock_decomp.use
;
o_colormap : COLORMAP EQUAL symbol { driver.option_num("plot_shock_decomp.colormap",$3); };
o_gmm_order : ORDER EQUAL INT_NUMBER { driver.option_num("gmm.order", $3); };
o_smm_order : ORDER EQUAL INT_NUMBER { driver.option_num("smm.order", $3); };
o_gmm_centered_moments : CENTERED_MOMENTS { driver.option_num("gmm.centered_moments", "1"); };
o_smm_centered_moments : CENTERED_MOMENTS { driver.option_num("smm.centered_moments", "1"); };
o_gmm_autolag : AUTOLAG EQUAL vec_int
{ driver.option_vec_int("gmm.autolag", $3); }
| AUTOLAG EQUAL vec_int_number
{ driver.option_vec_int("gmm.autolag", $3); }
;
o_smm_autolag : AUTOLAG EQUAL vec_int
{ driver.option_vec_int("smm.autolag", $3); }
| AUTOLAG EQUAL vec_int_number
{ driver.option_vec_int("smm.autolag", $3); }
;
o_gmm_recursive_order_estimation : RECURSIVE_ORDER_ESTIMATION { driver.option_num("gmm.recursive_estimation", "1"); };
o_smm_recursive_order_estimation : RECURSIVE_ORDER_ESTIMATION { driver.option_num("smm.recursive_estimation", "1"); };
o_gmm_bartlett_kernel_lag : BARTLETT_KERNEL_LAG EQUAL INT_NUMBER { driver.option_num("gmm.qLag", $3); };
o_smm_bartlett_kernel_lag : BARTLETT_KERNEL_LAG EQUAL INT_NUMBER { driver.option_num("smm.qLag", $3); };
o_gmm_weighting_matrix : WEIGHTING_MATRIX EQUAL OPTIMAL
{ driver.option_str("gmm.weighting_matrix", $3); }
| WEIGHTING_MATRIX EQUAL IDENTITY_MATRIX
{ driver.option_str("gmm.weighting_matrix", $3); }
| WEIGHTING_MATRIX EQUAL DIAGONAL
{ driver.option_str("gmm.weighting_matrix", $3); }
| WEIGHTING_MATRIX EQUAL filename
{ driver.option_str("gmm.weighting_matrix", $3); }
;
o_smm_weighting_matrix : WEIGHTING_MATRIX EQUAL OPTIMAL
{ driver.option_str("smm.weighting_matrix", $3); }
| WEIGHTING_MATRIX EQUAL IDENTITY_MATRIX
{ driver.option_str("smm.weighting_matrix", $3); }
| WEIGHTING_MATRIX EQUAL DIAGONAL
{ driver.option_str("smm.weighting_matrix", $3); }
| WEIGHTING_MATRIX EQUAL filename
{ driver.option_str("smm.weighting_matrix", $3); }
;
o_gmm_penalized_estimator : PENALIZED_ESTIMATOR { driver.option_num("gmm.penalized_estimator", "1"); };
o_smm_penalized_estimator : PENALIZED_ESTIMATOR { driver.option_num("smm.penalized_estimator", "1"); };
o_gmm_verbose : VERBOSE { driver.option_num("gmm.verbose", "1"); };
o_smm_verbose : VERBOSE { driver.option_num("smm.verbose", "1"); };
o_smm_simulation_multiple : SIMULATION_MULTIPLE EQUAL INT_NUMBER { driver.option_num("smm.simulation_multiple", $3); };
o_smm_drop : DROP EQUAL INT_NUMBER { driver.option_num("smm.drop", $3); };
o_smm_seed : SEED EQUAL INT_NUMBER { driver.option_num("smm.seed", $3); };
o_smm_bounded_shock_support : BOUNDED_SHOCK_SUPPORT { driver.option_num("smm.bounded_support", "1"); };
o_analytical_girf : ANALYTICAL_GIRF { driver.option_num("irf_opt.analytical_GIRF", "1"); };
o_irf_in_percent : IRF_IN_PERCENT { driver.option_num("irf_opt.percent", "1"); };
o_emas_girf : EMAS_GIRF { driver.option_num("irf_opt.ergodic_mean_irf", "1"); };
o_emas_drop : EMAS_DROP EQUAL INT_NUMBER { driver.option_num("irf_opt.EM.drop", $3); };
o_emas_tolf : EMAS_TOLF EQUAL non_negative_number { driver.option_num("irf_opt.EM.tolf", $3); };
o_emas_max_iter : EMAS_MAX_ITER EQUAL INT_NUMBER { driver.option_num("irf_opt.EM.iter", $3); };
range : symbol ':' symbol
{
$1->append(":");

29
DynareFlex.ll
View File

@ -168,6 +168,8 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<INITIAL>ms_variance_decomposition {BEGIN DYNARE_STATEMENT; return token::MS_VARIANCE_DECOMPOSITION;}
<INITIAL>conditional_forecast {BEGIN DYNARE_STATEMENT; return token::CONDITIONAL_FORECAST;}
<INITIAL>plot_conditional_forecast {BEGIN DYNARE_STATEMENT; return token::PLOT_CONDITIONAL_FORECAST;}
<INITIAL>gmm_estimation {BEGIN DYNARE_STATEMENT; return token::GMM_ESTIMATION;}
<INITIAL>smm_estimation {BEGIN DYNARE_STATEMENT; return token::SMM_ESTIMATION;}
<INITIAL>markov_switching {BEGIN DYNARE_STATEMENT; return token::MARKOV_SWITCHING;}
<INITIAL>svar {BEGIN DYNARE_STATEMENT; return token::SVAR;}
@ -212,6 +214,7 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<INITIAL>irf_calibration {BEGIN DYNARE_BLOCK; return token::IRF_CALIBRATION;}
<INITIAL>ramsey_constraints {BEGIN DYNARE_BLOCK; return token::RAMSEY_CONSTRAINTS;}
<INITIAL>restrictions {BEGIN DYNARE_BLOCK; return token::RESTRICTIONS;}
<INITIAL>generate_irfs {BEGIN DYNARE_BLOCK; return token::GENERATE_IRFS;}
/* For the semicolon after an "end" keyword */
<INITIAL>; {return Dynare::parser::token_type (yytext[0]);}
@ -640,6 +643,30 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<DYNARE_STATEMENT>silent_optimizer {return token::SILENT_OPTIMIZER;}
<DYNARE_STATEMENT>lmmcp {return token::LMMCP;}
<DYNARE_STATEMENT>occbin {return token::OCCBIN;}
<DYNARE_STATEMENT>centered_moments {return token::CENTERED_MOMENTS; }
<DYNARE_STATEMENT>autolag {return token::AUTOLAG; }
<DYNARE_STATEMENT>recursive_order_estimation {return token::RECURSIVE_ORDER_ESTIMATION; }
<DYNARE_STATEMENT>bartlett_kernel_lag {return token::BARTLETT_KERNEL_LAG; }
<DYNARE_STATEMENT>optimal {
yylval->string_val = new string(yytext);
return token::OPTIMAL;
}
<DYNARE_STATEMENT>diagonal {
yylval->string_val = new string(yytext);
return token::DIAGONAL;
}
<DYNARE_STATEMENT>weighting_matrix {return token::WEIGHTING_MATRIX; }
<DYNARE_STATEMENT>penalized_estimator {return token::PENALIZED_ESTIMATOR; }
<DYNARE_STATEMENT>verbose {return token::VERBOSE; }
<DYNARE_STATEMENT>simulation_multiple {return token::SIMULATION_MULTIPLE; }
<DYNARE_STATEMENT>seed {return token::SEED; }
<DYNARE_STATEMENT>bounded_shock_support {return token::BOUNDED_SHOCK_SUPPORT; }
<DYNARE_STATEMENT>analytical_girf {return token::ANALYTICAL_GIRF; }
<DYNARE_STATEMENT>irf_in_percent {return token::IRF_IN_PERCENT; }
<DYNARE_STATEMENT>emas_girf {return token::EMAS_GIRF; }
<DYNARE_STATEMENT>emas_drop {return token::EMAS_DROP; }
<DYNARE_STATEMENT>emas_tolf {return token::EMAS_TOLF; }
<DYNARE_STATEMENT>emas_max_iter {return token::EMAS_MAX_ITER; }
<DYNARE_STATEMENT>[\$][^$]*[\$] {
strtok(yytext+1, "$");
@ -714,6 +741,8 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<DYNARE_STATEMENT>irf_plot_threshold {return token::IRF_PLOT_THRESHOLD;}
<DYNARE_STATEMENT>no_homotopy {return token::NO_HOMOTOPY;}
<DYNARE_BLOCK>stderr_multiples {return token::STDERR_MULTIPLES;}
<DYNARE_BLOCK>diagonal_only {return token::DIAGONAL_ONLY;}
<DYNARE_BLOCK>equation {return token::EQUATION;}
<DYNARE_BLOCK>exclusion {return token::EXCLUSION;}
<DYNARE_BLOCK>lag {return token::LAG;}

11
DynareMain.cc
View File

@ -46,6 +46,7 @@ void main2(stringstream &in, string &basename, bool debug, bool clear_all, bool
, bool cygwin, bool msvc, bool mingw
#endif
, JsonOutputPointType json, JsonFileOutputType json_output_mode, bool onlyjson, bool jsonderivsimple
, bool nopreprocessoroutput
);
void main1(string &modfile, string &basename, string &modfiletxt, bool debug, bool save_macro, string &save_macro_file,
@ -120,6 +121,7 @@ main(int argc, char **argv)
bool onlyjson = false;
bool jsonderivsimple = false;
LanguageOutputType language = matlab;
bool nopreprocessoroutput = false;
// Parse options
for (int arg = 2; arg < argc; arg++)
@ -303,6 +305,8 @@ main(int argc, char **argv)
json_output_mode = standardout;
else if (!strcmp(argv[arg], "onlyjson"))
onlyjson = true;
else if (!strcmp(argv[arg], "nopreprocessoroutput"))
nopreprocessoroutput = true;
else if (!strcmp(argv[arg], "jsonderivsimple"))
jsonderivsimple = true;
else if (strlen(argv[arg]) >= 4 && !strncmp(argv[arg], "json", 4))
@ -333,8 +337,9 @@ main(int argc, char **argv)
}
}
cout << "Starting Dynare (version " << PACKAGE_VERSION << ")." << endl
<< "Starting preprocessing of the model file ..." << endl;
if (!nopreprocessoroutput)
cout << "Starting Dynare (version " << PACKAGE_VERSION << ")." << endl
<< "Starting preprocessing of the model file ..." << endl;
// Construct basename (i.e. remove file extension if there is one)
string basename = argv[1];
@ -397,7 +402,7 @@ main(int argc, char **argv)
#if defined(_WIN32) || defined(__CYGWIN32__) || defined(__MINGW32__)
, cygwin, msvc, mingw
#endif
, json, json_output_mode, onlyjson, jsonderivsimple
, json, json_output_mode, onlyjson, jsonderivsimple, nopreprocessoroutput
);
return EXIT_SUCCESS;

21
DynareMain2.cc
View File

@ -35,6 +35,7 @@ main2(stringstream &in, string &basename, bool debug, bool clear_all, bool clear
, bool cygwin, bool msvc, bool mingw
#endif
, JsonOutputPointType json, JsonFileOutputType json_output_mode, bool onlyjson, bool jsonderivsimple
, bool nopreprocessoroutput
)
{
ParsingDriver p(warnings, nostrict);
@ -42,38 +43,40 @@ main2(stringstream &in, string &basename, bool debug, bool clear_all, bool clear
// Do parsing and construct internal representation of mod file
ModFile *mod_file = p.parse(in, debug);
if (json == parsing)
mod_file->writeJsonOutput(basename, json, json_output_mode, onlyjson);
mod_file->writeJsonOutput(basename, json, json_output_mode, onlyjson, nopreprocessoroutput);
// Run checking pass
mod_file->checkPass(nostrict, stochastic);
if (json == checkpass)
mod_file->writeJsonOutput(basename, json, json_output_mode, onlyjson);
mod_file->writeJsonOutput(basename, json, json_output_mode, onlyjson, nopreprocessoroutput);
// Perform transformations on the model (creation of auxiliary vars and equations)
mod_file->transformPass(nostrict, stochastic, compute_xrefs || json == transformpass);
mod_file->transformPass(nostrict, stochastic, compute_xrefs || json == transformpass, nopreprocessoroutput);
if (json == transformpass)
mod_file->writeJsonOutput(basename, json, json_output_mode, onlyjson);
mod_file->writeJsonOutput(basename, json, json_output_mode, onlyjson, nopreprocessoroutput);
// Evaluate parameters initialization, initval, endval and pounds
mod_file->evalAllExpressions(warn_uninit);
mod_file->evalAllExpressions(warn_uninit, nopreprocessoroutput);
// Do computations
mod_file->computingPass(no_tmp_terms, output_mode, params_derivs_order);
mod_file->computingPass(no_tmp_terms, output_mode, params_derivs_order, nopreprocessoroutput);
if (json == computingpass)
mod_file->writeJsonOutput(basename, json, json_output_mode, onlyjson, jsonderivsimple);
mod_file->writeJsonOutput(basename, json, json_output_mode, onlyjson, nopreprocessoroutput, jsonderivsimple);
// Write outputs
if (output_mode != none)
mod_file->writeExternalFiles(basename, output_mode, language);
mod_file->writeExternalFiles(basename, output_mode, language, nopreprocessoroutput);
else
mod_file->writeOutputFiles(basename, clear_all, clear_global, no_log, no_warn, console, nograph,
nointeractive, config_file, check_model_changes, minimal_workspace, compute_xrefs
#if defined(_WIN32) || defined(__CYGWIN32__) || defined(__MINGW32__)
, cygwin, msvc, mingw
#endif
, nopreprocessoroutput
);
delete mod_file;
cout << "Preprocessing completed." << endl;
if (!nopreprocessoroutput)
cout << "Preprocessing completed." << endl;
}

97
ModFile.cc
View File

@ -53,9 +53,10 @@ ModFile::~ModFile()
}
void
ModFile::evalAllExpressions(bool warn_uninit)
ModFile::evalAllExpressions(bool warn_uninit, const bool nopreprocessoroutput)
{
cout << "Evaluating expressions...";
if (!nopreprocessoroutput)
cout << "Evaluating expressions...";
// Loop over all statements, and fill global eval context if relevant
for (vector<Statement *>::const_iterator it = statements.begin(); it != statements.end(); it++)
@ -76,7 +77,8 @@ ModFile::evalAllExpressions(bool warn_uninit)
// Evaluate model local variables
dynamic_model.fillEvalContext(global_eval_context);
cout << "done" << endl;
if (!nopreprocessoroutput)
cout << "done" << endl;
// Check if some symbols are not initialized, and give them a zero value then
for (int id = 0; id <= symbol_table.maxID(); id++)
@ -340,7 +342,7 @@ ModFile::checkPass(bool nostrict, bool stochastic)
}
void
ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs)
ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs, const bool nopreprocessoroutput)
{
// Save the original model (must be done before any model transformations by preprocessor)
// - except adl and diff which we always want expanded
@ -408,7 +410,7 @@ ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs)
if (linear)
dynamic_model.cloneDynamic(orig_ramsey_dynamic_model);
dynamic_model.cloneDynamic(ramsey_FOC_equations_dynamic_model);
ramsey_FOC_equations_dynamic_model.computeRamseyPolicyFOCs(*planner_objective);
ramsey_FOC_equations_dynamic_model.computeRamseyPolicyFOCs(*planner_objective, nopreprocessoroutput);
ramsey_FOC_equations_dynamic_model.replaceMyEquations(dynamic_model);
mod_file_struct.ramsey_eq_nbr = dynamic_model.equation_number() - mod_file_struct.orig_eq_nbr;
}
@ -517,13 +519,14 @@ ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs)
exit(EXIT_FAILURE);
}
if (!mod_file_struct.ramsey_model_present)
cout << "Found " << dynamic_model.equation_number() << " equation(s)." << endl;
else
{
cout << "Found " << mod_file_struct.orig_eq_nbr << " equation(s)." << endl;
cout << "Found " << dynamic_model.equation_number() << " FOC equation(s) for Ramsey Problem." << endl;
}
if (!nopreprocessoroutput)
if (!mod_file_struct.ramsey_model_present)
cout << "Found " << dynamic_model.equation_number() << " equation(s)." << endl;
else
{
cout << "Found " << mod_file_struct.orig_eq_nbr << " equation(s)." << endl;
cout << "Found " << dynamic_model.equation_number() << " FOC equation(s) for Ramsey Problem." << endl;
}
if (symbol_table.exists("dsge_prior_weight"))
if (mod_file_struct.bayesian_irf_present)
@ -545,7 +548,7 @@ ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs)
}
void
ModFile::computingPass(bool no_tmp_terms, FileOutputType output, int params_derivs_order)
ModFile::computingPass(bool no_tmp_terms, FileOutputType output, int params_derivs_order, const bool nopreprocessoroutput)
{
// Mod file may have no equation (for example in a standalone BVAR estimation)
if (dynamic_model.equation_number() > 0)
@ -569,7 +572,7 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, int params_deri
if (mod_file_struct.identification_present || mod_file_struct.estimation_analytic_derivation)
paramsDerivsOrder = params_derivs_order;
static_model.computingPass(global_eval_context, no_tmp_terms, static_hessian,
false, paramsDerivsOrder, block, byte_code);
false, paramsDerivsOrder, block, byte_code, nopreprocessoroutput);
}
// Set things to compute for dynamic model
if (mod_file_struct.perfect_foresight_solver_present || mod_file_struct.check_present
@ -579,7 +582,7 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, int params_deri
|| mod_file_struct.calib_smoother_present)
{
if (mod_file_struct.perfect_foresight_solver_present)
dynamic_model.computingPass(true, false, false, none, global_eval_context, no_tmp_terms, block, use_dll, byte_code);
dynamic_model.computingPass(true, false, false, none, global_eval_context, no_tmp_terms, block, use_dll, byte_code, nopreprocessoroutput);
else
{
if (mod_file_struct.stoch_simul_present
@ -604,13 +607,13 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, int params_deri
int paramsDerivsOrder = 0;
if (mod_file_struct.identification_present || mod_file_struct.estimation_analytic_derivation)
paramsDerivsOrder = params_derivs_order;
dynamic_model.computingPass(true, hessian, thirdDerivatives, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, byte_code);
dynamic_model.computingPass(true, hessian, thirdDerivatives, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, byte_code, nopreprocessoroutput);
if (linear && mod_file_struct.ramsey_model_present)
orig_ramsey_dynamic_model.computingPass(true, true, false, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, byte_code);
orig_ramsey_dynamic_model.computingPass(true, true, false, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, byte_code, nopreprocessoroutput);
}
}
else // No computing task requested, compute derivatives up to 2nd order by default
dynamic_model.computingPass(true, true, false, none, global_eval_context, no_tmp_terms, block, use_dll, byte_code);
dynamic_model.computingPass(true, true, false, none, global_eval_context, no_tmp_terms, block, use_dll, byte_code, nopreprocessoroutput);
if ((linear && !mod_file_struct.ramsey_model_present && !dynamic_model.checkHessianZero())
|| (linear && mod_file_struct.ramsey_model_present && !orig_ramsey_dynamic_model.checkHessianZero()))
@ -646,6 +649,7 @@ ModFile::writeOutputFiles(const string &basename, bool clear_all, bool clear_glo
#if defined(_WIN32) || defined(__CYGWIN32__)
, bool cygwin, bool msvc, bool mingw
#endif
, const bool nopreprocessoroutput
) const
{
ofstream mOutputFile;
@ -718,7 +722,8 @@ ModFile::writeOutputFiles(const string &basename, bool clear_all, bool clear_glo
if (param_used_with_lead_lag)
mOutputFile << "M_.parameter_used_with_lead_lag = true;" << endl;
cout << "Processing outputs ..." << endl;
if (!nopreprocessoroutput)
cout << "Processing outputs ..." << endl;
symbol_table.writeOutput(mOutputFile);
@ -960,11 +965,12 @@ ModFile::writeOutputFiles(const string &basename, bool clear_all, bool clear_glo
steady_state_model.writeSteadyStateFile(basename, mod_file_struct.ramsey_model_present, false);
}
cout << "done" << endl;
if (!nopreprocessoroutput)
cout << "done" << endl;
}
void
ModFile::writeExternalFiles(const string &basename, FileOutputType output, LanguageOutputType language) const
ModFile::writeExternalFiles(const string &basename, FileOutputType output, LanguageOutputType language, const bool nopreprocessoroutput) const
{
switch (language)
{
@ -975,7 +981,7 @@ ModFile::writeExternalFiles(const string &basename, FileOutputType output, Langu
writeExternalFilesCC(basename, output);
break;
case julia:
writeExternalFilesJulia(basename, output);
writeExternalFilesJulia(basename, output, nopreprocessoroutput);
break;
default:
cerr << "This case shouldn't happen. Contact the authors of Dynare" << endl;
@ -1193,7 +1199,7 @@ ModFile::writeModelCC(const string &basename) const
}
void
ModFile::writeExternalFilesJulia(const string &basename, FileOutputType output) const
ModFile::writeExternalFilesJulia(const string &basename, FileOutputType output, const bool nopreprocessoroutput) const
{
ofstream jlOutputFile;
if (basename.size())
@ -1270,7 +1276,8 @@ ModFile::writeExternalFilesJulia(const string &basename, FileOutputType output)
jlOutputFile << "model_.h = zeros(Float64, 1, 1)" << endl
<< "model_.correlation_matrix_me = ones(Float64, 1, 1)" << endl;
cout << "Processing outputs ..." << endl;
if (!nopreprocessoroutput)
cout << "Processing outputs ..." << endl;
symbol_table.writeJuliaOutput(jlOutputFile);
if (dynamic_model.equation_number() > 0)
@ -1314,11 +1321,12 @@ ModFile::writeExternalFilesJulia(const string &basename, FileOutputType output)
<< "end" << endl
<< "end" << endl;
jlOutputFile.close();
cout << "done" << endl;
if (!nopreprocessoroutput)
cout << "done" << endl;
}
void
ModFile::writeJsonOutput(const string &basename, JsonOutputPointType json, JsonFileOutputType json_output_mode, bool onlyjson, bool jsonderivsimple)
ModFile::writeJsonOutput(const string &basename, JsonOutputPointType json, JsonFileOutputType json_output_mode, bool onlyjson, const bool nopreprocessoroutput, bool jsonderivsimple)
{
if (json == nojson)
return;
@ -1342,24 +1350,25 @@ ModFile::writeJsonOutput(const string &basename, JsonOutputPointType json, JsonF
cout << "}" << endl
<< "//-- END JSON --// " << endl;
switch (json)
{
case parsing:
cout << "JSON written after Parsing step." << endl;
break;
case checkpass:
cout << "JSON written after Check step." << endl;
break;
case transformpass:
cout << "JSON written after Transform step." << endl;
break;
case computingpass:
cout << "JSON written after Computing step." << endl;
break;
case nojson:
cerr << "ModFile::writeJsonOutput: should not arrive here." << endl;
exit(EXIT_FAILURE);
}
if (!nopreprocessoroutput)
switch (json)
{
case parsing:
cout << "JSON written after Parsing step." << endl;
break;
case checkpass:
cout << "JSON written after Check step." << endl;
break;
case transformpass:
cout << "JSON written after Transform step." << endl;
break;
case computingpass:
cout << "JSON written after Computing step." << endl;
break;
case nojson:
cerr << "ModFile::writeJsonOutput: should not arrive here." << endl;
exit(EXIT_FAILURE);
}
if (onlyjson)
exit(EXIT_SUCCESS);

13
ModFile.hh
View File

@ -128,17 +128,17 @@ public:
void addStatementAtFront(Statement *st);
//! Evaluate all the statements
/*! \param warn_uninit Should a warning be displayed for uninitialized endogenous/exogenous/parameters ? */
void evalAllExpressions(bool warn_uninit);
void evalAllExpressions(bool warn_uninit, const bool nopreprocessoroutput);
//! Do some checking and fills mod_file_struct
/*! \todo add check for number of equations and endogenous if ramsey_policy is present */
void checkPass(bool nostrict, bool stochastic);
//! Perform some transformations on the model (creation of auxiliary vars and equations)
/*! \param compute_xrefs if true, equation cross references will be computed */
void transformPass(bool nostrict, bool stochastic, bool compute_xrefs);
void transformPass(bool nostrict, bool stochastic, bool compute_xrefs, const bool nopreprocessoroutput);
//! Execute computations
/*! \param no_tmp_terms if true, no temporary terms will be computed in the static and dynamic files */
/*! \param params_derivs_order compute this order of derivs wrt parameters */
void computingPass(bool no_tmp_terms, FileOutputType output, int params_derivs_order);
void computingPass(bool no_tmp_terms, FileOutputType output, int params_derivs_order, const bool nopreprocessoroutput);
//! Writes Matlab/Octave output files
/*!
\param basename The base name used for writing output files. Should be the name of the mod file without its extension
@ -157,11 +157,12 @@ public:
#if defined(_WIN32) || defined(__CYGWIN32__) || defined(__MINGW32__)
, bool cygwin, bool msvc, bool mingw
#endif
, const bool nopreprocessoroutput
) const;
void writeExternalFiles(const string &basename, FileOutputType output, LanguageOutputType language) const;
void writeExternalFiles(const string &basename, FileOutputType output, LanguageOutputType language, const bool nopreprocessoroutput) const;
void writeExternalFilesC(const string &basename, FileOutputType output) const;
void writeExternalFilesCC(const string &basename, FileOutputType output) const;
void writeExternalFilesJulia(const string &basename, FileOutputType output) const;
void writeExternalFilesJulia(const string &basename, FileOutputType output, const bool nopreprocessoroutput) const;
//! Writes C output files only => No further Matlab processing
void writeCOutputFiles(const string &basename) const;
void writeModelC(const string &basename) const;
@ -174,7 +175,7 @@ public:
//! Initially created to enable Julia to work with .mod files
//! Potentially outputs ModFile after the various parts of processing (parsing, checkPass, transformPass, computingPass)
//! Allows user of other host language platforms (python, fortran, etc) to provide support for dynare .mod files
void writeJsonOutput(const string &basename, JsonOutputPointType json, JsonFileOutputType json_output_mode, bool onlyjson, bool jsonderivsimple = false);
void writeJsonOutput(const string &basename, JsonOutputPointType json, JsonFileOutputType json_output_mode, bool onlyjson, const bool nopreprocessoroutput, bool jsonderivsimple = false);
};
#endif // ! MOD_FILE_HH

71
ParsingDriver.cc
View File

@ -746,6 +746,46 @@ ParsingDriver::homotopy_val(string *name, expr_t val1, expr_t val2)
delete name;
}
void
ParsingDriver::end_generate_irfs()
{
mod_file->addStatement(new GenerateIRFsStatement(options_list, generate_irf_names, generate_irf_elements));
generate_irf_elements.clear();
generate_irf_names.clear();
options_list.clear();
}
void
ParsingDriver::add_generate_irfs_element(string *name)
{
for (vector<string>::const_iterator it = generate_irf_names.begin();
it != generate_irf_names.end(); it++)
if (*it == *name)
error("Names in the generate_irfs block must be unique but you entered '"
+ *name + "' more than once.");
generate_irf_names.push_back(*name);
generate_irf_elements.push_back(generate_irf_exos);
generate_irf_exos.clear();
delete name;
}
void
ParsingDriver::add_generate_irfs_exog_element(string *exo, string *value)
{
check_symbol_is_exogenous(exo);
if (generate_irf_exos.find(*exo) != generate_irf_exos.end())
error("You have set the exogenous variable " + *exo + " twice.");
generate_irf_exos[*exo] = atof(value->c_str());
delete exo;
delete value;
}
void
ParsingDriver::forecast()
{
@ -1809,6 +1849,21 @@ ParsingDriver::check_symbol_is_endogenous_or_exogenous(string *name)
}
}
void
ParsingDriver::check_symbol_is_exogenous(string *name)
{
check_symbol_existence(*name);
int symb_id = mod_file->symbol_table.getID(*name);
switch (mod_file->symbol_table.getType(symb_id))
{
case eExogenous:
case eExogenousDet:
break;
default:
error(*name + " is not exogenous.");
}
}
void
ParsingDriver::set_std_prior(string *name, string *subsample_name)
{
@ -3221,6 +3276,22 @@ ParsingDriver::perfect_foresight_solver()
options_list.clear();
}
void
ParsingDriver::gmm_estimation()
{
mod_file->addStatement(new GMMEstimationStatement(symbol_list, options_list));
symbol_list.clear();
options_list.clear();
}
void
ParsingDriver::smm_estimation()
{
mod_file->addStatement(new SMMEstimationStatement(symbol_list, options_list));
symbol_list.clear();
options_list.clear();
}
void
ParsingDriver::prior_posterior_function(bool prior_func)
{

16
ParsingDriver.hh
View File

@ -93,6 +93,9 @@ private:
//! Checks that a given symbol exists and is a endogenous or exogenous, and stops with an error message if it isn't
void check_symbol_is_endogenous_or_exogenous(string *name);
//! Checks that a given symbol exists and is a exogenous, and stops with an error message if it isn't
void check_symbol_is_exogenous(string *name);
//! Checks for symbol existence in model block. If it doesn't exist, an error message is stored to be printed at
//! the end of the model block
void check_symbol_existence_in_model_block(const string &name);
@ -196,7 +199,10 @@ private:
Ri_TYPE
};
SvarRestrictionType svar_restriction_type;
//! Temporary storage for generate_irfs
vector<string> generate_irf_names;
vector<map<string, double> > generate_irf_elements;
map<string, double> generate_irf_exos;
//! Temporary storage for argument list of external function
stack<vector<expr_t> > stack_external_function_args;
//! Temporary storage for parameters in joint prior statement
@ -553,6 +559,10 @@ public:
void add_lower_cholesky();
//! Svar_Global_Identification_Check Statement
void add_svar_global_identification_check();
//! generate_irfs Block
void end_generate_irfs();
void add_generate_irfs_element(string *name);
void add_generate_irfs_exog_element(string *exo, string *value);
//! Forecast Statement
void forecast();
void set_trends();
@ -810,6 +820,10 @@ public:
void add_VAR_covariance_pair_restriction(string *name11, string *name12, string *name21, string *name22);
//! Runs VAR estimation process
void run_var_estimation();
//! GMM Estimation statement
void gmm_estimation();
//! SMM Estimation statement
void smm_estimation();
};
#endif // ! PARSING_DRIVER_HH

21
StaticModel.cc
View File

@ -1047,7 +1047,7 @@ StaticModel::collect_first_order_derivatives_endogenous()
}
void
StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatives, int paramsDerivsOrder, bool block, bool bytecode)
StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatives, int paramsDerivsOrder, bool block, bool bytecode, const bool nopreprocessoroutput)
{
initializeVariablesAndEquations();
@ -1077,27 +1077,31 @@ StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms
}
// Launch computations
cout << "Computing static model derivatives:" << endl
<< " - order 1" << endl;
if (!nopreprocessoroutput)
cout << "Computing static model derivatives:" << endl
<< " - order 1" << endl;
first_derivatives.clear();
computeJacobian(vars);
if (hessian)
{
cout << " - order 2" << endl;
if (!nopreprocessoroutput)
cout << " - order 2" << endl;
computeHessian(vars);
}
if (thirdDerivatives)
{
cout << " - order 3" << endl;
if (!nopreprocessoroutput)
cout << " - order 3" << endl;
computeThirdDerivatives(vars);
}
if (paramsDerivsOrder > 0)
{
cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
if (!nopreprocessoroutput)
cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
computeParamsDerivatives(paramsDerivsOrder);
if (!no_tmp_terms)
@ -1122,7 +1126,8 @@ StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms
equation_type_and_normalized_equation = equationTypeDetermination(first_order_endo_derivatives, variable_reordered, equation_reordered, mfs);
cout << "Finding the optimal block decomposition of the model ...\n";
if (!nopreprocessoroutput)
cout << "Finding the optimal block decomposition of the model ...\n";
lag_lead_vector_t equation_lag_lead, variable_lag_lead;
@ -1550,6 +1555,7 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
StaticOutput << "#=" << endl << comments.str() << "=#" << endl
<< " @assert size(g2) == (" << equations.size() << ", " << g2ncols << ")" << endl
<< " fill!(g2, 0.0)" << endl
<< " static!(y, x, params, residual, g1)" << endl;
if (second_derivatives.size())
StaticOutput << model_local_vars_output.str()
@ -1573,6 +1579,7 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
StaticOutput << "#=" << endl << comments.str() << "=#" << endl
<< " @assert size(g3) == (" << nrows << ", " << ncols << ")" << endl
<< " fill!(g3, 0.0)" << endl
<< " static!(y, x, params, residual, g1, g2)" << endl;
if (third_derivatives.size())
StaticOutput << model_local_vars_output.str()

2
StaticModel.hh
View File

@ -161,7 +161,7 @@ public:
\param hessian whether 2nd derivatives w.r. to exo, exo_det and endo should be computed
\param paramsDerivsOrder order of derivatives w.r. to a pair (endo/exo/exo_det, parameter) to be computed
*/
void computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatices, int paramsDerivsOrder, bool block, bool bytecode);
void computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatices, int paramsDerivsOrder, bool block, bool bytecode, const bool nopreprocessoroutput);
//! Adds informations for simulation in a binary file for a block decomposed model
void Write_Inf_To_Bin_File_Block(const string &static_basename, const string &bin_basename, const int &num,