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Add options and checks for Bayesian IRF matching

master
Willi Mutschler 2023-09-28 12:40:03 +02:00
parent a2a6342865
commit 37ac40352a
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GPG Key ID: 91E724BF17A73F6D
3 changed files with 59 additions and 15 deletions
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11
src/ComputingTasks.cc
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@ -5109,18 +5109,19 @@ MethodOfMomentsStatement::checkPass(ModFileStructure &mod_file_struct,
mod_file_struct.order_option = max(mod_file_struct.order_option, order);
}
if (!options_list.contains("datafile"))
if (!options_list.contains("mom.mom_method"))
{
cerr << "ERROR: The method_of_moments statement requires a data file to be supplied via the datafile option." << endl;
cerr << "ERROR: The 'method_of_moments' statement requires a method to be supplied via the 'mom_method' option. Possible values are 'GMM', 'SMM', or 'IRF_MATCHING'." << endl;
exit(EXIT_FAILURE);
}
if (!options_list.contains("mom.mom_method"))
auto mom_method_value = options_list.get_if<OptionsList::StringVal>("mom.mom_method");
if ((mom_method_value == "GMM" || mom_method_value == "SMM") && !options_list.contains("datafile"))
{
cerr << "ERROR: The method_of_moments statement requires a method to be supplied via the mom_method option. Possible values are GMM or SMM." << endl;
cerr << "ERROR: The 'method_of_moments' statement requires a data file to be supplied via the 'datafile' option." << endl;
exit(EXIT_FAILURE);
}
if (auto opt = options_list.get_if<OptionsList::StringVal>("mom.mom_method");
opt && *opt == "GMM")
mod_file_struct.GMM_present = true;

57
src/DynareBison.yy
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@ -152,7 +152,7 @@ class ParsingDriver;
%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> 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 GMM SMM
%token GSIG2_LMDM Q_DIAG FLAT_PRIOR NCSK NSTD WEIBULL WEIBULL_PDF
%token INDXPARR INDXOVR INDXAP APBAND INDXIMF INDXFORE FOREBAND INDXGFOREHAT INDXGIMFHAT
%token INDXESTIMA INDXGDLS EQ_MS FILTER_COVARIANCE UPDATED_COVARIANCE FILTER_DECOMPOSITION SMOOTHED_STATE_UNCERTAINTY SMOOTHER_REDUX
%token EQ_CMS TLINDX TLNUMBER RESTRICTIONS POSTERIOR_SAMPLER_OPTIONS
@ -180,9 +180,11 @@ class ParsingDriver;
%token PAC_TARGET_INFO COMPONENT TARGET AUXNAME AUXNAME_TARGET_NONSTATIONARY PAC_TARGET_NONSTATIONARY
%token <string> KIND LL DL DD ADD MULTIPLY
/* Method of Moments */
%token METHOD_OF_MOMENTS MOM_METHOD
%token GMM SMM IRF_MATCHING
%token METHOD_OF_MOMENTS MOM_METHOD SIMULATION_METHOD
%token BARTLETT_KERNEL_LAG WEIGHTING_MATRIX WEIGHTING_MATRIX_SCALING_FACTOR ANALYTIC_STANDARD_ERRORS ANALYTIC_JACOBIAN PENALIZED_ESTIMATOR VERBOSE
%token SIMULATION_MULTIPLE MOM_SEED SEED BOUNDED_SHOCK_SUPPORT ADDITIONAL_OPTIMIZER_STEPS MOM_SE_TOLX SE_TOLX MOM_BURNIN BURNIN
%token IRF_MATCHING_FILE ADD_TINY_NUMBER_TO_CHOLESKY
%token EQTAGS
%token ANALYTICAL_GIRF IRF_IN_PERCENT EMAS_GIRF EMAS_DROP EMAS_TOLF EMAS_MAX_ITER
%token NO_IDENTIFICATION_STRENGTH NO_IDENTIFICATION_REDUCEDFORM NO_IDENTIFICATION_MOMENTS
@ -1555,6 +1557,43 @@ method_of_moments_option : o_mom_method
| o_mode_check_neighbourhood_size
| o_mode_check_symmetric_plots
| o_mode_check_number_of_points
| o_add_tiny_number_to_cholesky
| o_brooks_gelman_plotrows
| o_cova_compute
| o_drop
| o_geweke_interval
| o_irf_matching_file
| o_load_mh_file
| o_load_results_after_load_mh
| o_mcmc_jumping_covariance
| o_mh_conf_sig
| o_mh_drop
| o_mh_init_scale_factor
| o_mh_initialize_from_previous_mcmc
| o_mh_initialize_from_previous_mcmc_directory
| o_mh_initialize_from_previous_mcmc_prior
| o_mh_initialize_from_previous_mcmc_record
| o_mh_jscale
| o_mh_nblocks
| o_mh_posterior_mode_estimation
| o_mh_recover
| o_mh_replic
| o_mh_tune_guess
| o_mh_tune_jscale
| o_mode_file
| o_no_posterior_kernel_density
| o_nodiagnostic
| o_posterior_max_subsample_draws
| o_posterior_sampler_options
| o_posterior_sampling_method
| o_raftery_lewis_diagnostics
| o_raftery_lewis_qrs
| o_relative_irf
| o_replic
| o_simulation_method
| o_sub_draws
| o_taper_steps
| o_use_penalized_objective_for_hessian
;
prior_function : PRIOR_FUNCTION '(' prior_posterior_function_options_list ')' ';'
@ -4099,30 +4138,28 @@ o_fsolve_options : FSOLVE_OPTIONS EQUAL '(' name_value_pair_with_boolean_list ')
// Some options to "method_of_moments"
o_bartlett_kernel_lag : BARTLETT_KERNEL_LAG EQUAL INT_NUMBER { driver.option_num("mom.bartlett_kernel_lag", $3); };
o_weighting_matrix : WEIGHTING_MATRIX EQUAL vec_str { driver.option_vec_cellstr("mom.weighting_matrix", $3); }
o_weighting_matrix_scaling_factor : WEIGHTING_MATRIX_SCALING_FACTOR EQUAL non_negative_number { driver.option_num("mom.weighting_matrix_scaling_factor", $3); };
o_analytic_standard_errors : ANALYTIC_STANDARD_ERRORS { driver.option_num("mom.analytic_standard_errors", "true"); };
o_analytic_jacobian : ANALYTIC_JACOBIAN { driver.option_num("mom.analytic_jacobian", "true"); };
o_mom_method : MOM_METHOD EQUAL GMM
{ driver.option_str("mom.mom_method", "GMM"); }
| MOM_METHOD EQUAL SMM
{ driver.option_str("mom.mom_method", "SMM"); }
;
| MOM_METHOD EQUAL IRF_MATCHING
{ driver.option_str("mom.mom_method", "IRF_MATCHING"); };
o_simulation_method : SIMULATION_METHOD EQUAL STOCH_SIMUL
{ driver.option_str("mom.simulation_method", "STOCH_SIMUL"); };
o_penalized_estimator : PENALIZED_ESTIMATOR { driver.option_num("mom.penalized_estimator", "true"); };
o_verbose : VERBOSE { driver.option_num("mom.verbose", "true"); };
o_simulation_multiple : SIMULATION_MULTIPLE EQUAL INT_NUMBER { driver.option_num("mom.simulation_multiple", $3); };
o_mom_burnin : BURNIN EQUAL INT_NUMBER { driver.option_num("mom.burnin", $3); };
o_bounded_shock_support : BOUNDED_SHOCK_SUPPORT { driver.option_num("mom.bounded_shock_support", "true"); };
o_mom_seed : SEED EQUAL INT_NUMBER { driver.option_num("mom.seed", $3); };
o_additional_optimizer_steps : ADDITIONAL_OPTIMIZER_STEPS EQUAL vec_int { driver.option_vec_int("additional_optimizer_steps", $3); };
o_mom_se_tolx : SE_TOLX EQUAL non_negative_number { driver.option_num("mom.se_tolx", $3); };
o_irf_matching_file : IRF_MATCHING_FILE EQUAL filename { driver.option_str("mom.irf_matching_file.name", $3); };
o_add_tiny_number_to_cholesky : ADD_TINY_NUMBER_TO_CHOLESKY EQUAL non_negative_number { driver.option_num("add_tiny_number_to_cholesky", $3); };
o_analytical_girf : ANALYTICAL_GIRF { driver.option_num("irf_opt.analytical_GIRF", "true"); };
o_irf_in_percent : IRF_IN_PERCENT { driver.option_num("irf_opt.percent", "true"); };

6
src/DynareFlex.ll
View File

@ -734,11 +734,14 @@ DATE -?[0-9]+([ya]|m([1-9]|1[0-2])|q[1-4])
}
<DYNARE_STATEMENT>gmm {return token::GMM;}
<DYNARE_STATEMENT>smm {return token::SMM;}
<DYNARE_STATEMENT>irf_matching {return token::IRF_MATCHING;}
<DYNARE_STATEMENT>stoch_simul {return token::STOCH_SIMUL;}
<DYNARE_STATEMENT>weighting_matrix {return token::WEIGHTING_MATRIX; }
<DYNARE_STATEMENT>weighting_matrix_scaling_factor {return token::WEIGHTING_MATRIX_SCALING_FACTOR; }
<DYNARE_STATEMENT>analytic_standard_errors {return token::ANALYTIC_STANDARD_ERRORS; }
<DYNARE_STATEMENT>analytic_jacobian {return token::ANALYTIC_JACOBIAN; }
<DYNARE_STATEMENT>mom_method {return token::MOM_METHOD; }
<DYNARE_STATEMENT>simulation_method {return token::SIMULATION_METHOD; }
<DYNARE_STATEMENT>penalized_estimator {return token::PENALIZED_ESTIMATOR; }
<DYNARE_STATEMENT>verbose {return token::VERBOSE; }
<DYNARE_STATEMENT>simulation_multiple {return token::SIMULATION_MULTIPLE; }
@ -746,6 +749,9 @@ DATE -?[0-9]+([ya]|m([1-9]|1[0-2])|q[1-4])
<DYNARE_STATEMENT>seed {return token::SEED; }
<DYNARE_STATEMENT>se_tolx {return token::SE_TOLX;}
<DYNARE_STATEMENT>bounded_shock_support {return token::BOUNDED_SHOCK_SUPPORT; }
<DYNARE_STATEMENT>irf_matching_file {return token::IRF_MATCHING_FILE;}
<DYNARE_STATEMENT>add_tiny_number_to_cholesky {return token::ADD_TINY_NUMBER_TO_CHOLESKY; }
<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; }