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v4.1: Added Model comparison. Not yet ready but can be used. The preprocessor, surprisingly, seems to sort the compared models (listed after the model_comparison command) by decreasing order of the model names (including path and extension). 

TODO: 
+ Add an option to define the benchmark model (bayes ratio).
+ Add comparison to estimated BVAR models.

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2110 ac1d8469-bf42-47a9-8791-bf33cf982152
issue#70
adjemian 2008-09-24 21:52:11 +00:00
parent ac09955176
commit 41375b7c04
4 changed files with 43 additions and 55 deletions
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10
ComputingTasks.cc
View File

@ -827,16 +827,16 @@ ModelComparisonStatement::writeOutput(ostream &output, const string &basename) c
{
options_list.writeOutput(output);
output << "ModelNames_ = {};\n";
output << "ModelPriors_ = {};\n";
output << "ModelNames_ = {};" << endl;
output << "ModelPriors_ = [];" << endl;
for(filename_list_type::const_iterator it = filename_list.begin();
it != filename_list.end(); it++)
{
output << "ModelNames_ = { ModelNames_{:} '" << it->first << "};\n";
output << "ModelPriors_ = { ModelPriors_{:} '" << it->second << "};\n";
output << "ModelNames_ = { ModelNames_{:} '" << it->first << "'};" << endl;
output << "ModelPriors_ = [ ModelPriors_ ; " << it->second << "];" << endl;
}
output << "model_comparison(ModelNames_,ModelPriors_);\n";
output << "model_comparison(ModelNames_,ModelPriors_,oo_,options_,M_.fname);" << endl;
}
PlannerObjectiveStatement::PlannerObjectiveStatement(ModelTree *model_tree_arg) :

77
DynareBison.yy
View File

@ -87,7 +87,8 @@ class ParsingDriver;
%token CALIB CALIB_VAR CHECK CONF_SIG CONSTANT CORR COVAR CUTOFF
%token DATAFILE DR_ALGO DROP DSAMPLE DYNASAVE DYNATYPE
%token END ENDVAL EQUAL ESTIMATION ESTIMATED_PARAMS ESTIMATED_PARAMS_BOUNDS ESTIMATED_PARAMS_INIT
%token FILENAME FILTER_STEP_AHEAD FILTERED_VARS FIRST_OBS
%token <string_val> FILENAME
%token FILENAME_KEYWORD FILTER_STEP_AHEAD FILTERED_VARS FIRST_OBS
%token <string_val> FLOAT_NUMBER
%token FORECAST
%token GAMMA_PDF GAUSSIAN_ELIMINATION GCC_COMPILER GMRES GRAPH
@ -96,10 +97,11 @@ class ParsingDriver;
%token <string_val> INT_NUMBER
%token INV_GAMMA1_PDF INV_GAMMA2_PDF IRF
%token KALMAN_ALGO KALMAN_TOL
%token LAPLACE LCC_COMPILER LIK_ALGO LIK_INIT LINEAR LOAD_MH_FILE LOGLINEAR LU MARKOWITZ MAX
%token LAPLACE LCC_COMPILER LIK_ALGO LIK_INIT LINEAR LOAD_MH_FILE LOGLINEAR LU
%token MARKOWITZ MARGINAL_DENSITY MAX
%token METHOD MH_DROP MH_INIT_SCALE MH_JSCALE MH_MODE MH_NBLOCKS MH_REPLIC MH_RECOVER MIN
%token MODE_CHECK MODE_COMPUTE MODE_FILE MODEL MODEL_COMPARISON MODEL_INFO MSHOCKS
%token MODEL_COMPARISON_APPROXIMATION MODIFIEDHARMONICMEAN MOMENTS_VARENDO DIFFUSE_FILTER
%token MODIFIEDHARMONICMEAN MOMENTS_VARENDO DIFFUSE_FILTER
%token <string_val> NAME
%token NO_COMPILER NOBS NOCONSTANT NOCORR NODIAGNOSTIC NOFUNCTIONS
%token NOGRAPH NOMOMENTS NOPRINT NORMAL_PDF
@ -135,7 +137,7 @@ class ParsingDriver;
%type <node_val> expression
%type <node_val> equation hand_side model_var
%type <string_val> signed_float signed_integer prior
%type <string_val> value value1 filename filename_elem vec_int_elem vec_int_1 vec_int
%type <string_val> value value1 vec_int_elem vec_int_1 vec_int
%type <string_val> vec_value_1 vec_value
%type <string_val> calib_arg2 range number
@ -370,7 +372,7 @@ comma_expression : expression
initval : INITVAL ';' initval_list END
{ driver.end_initval(); }
initval_file : INITVAL_FILE '(' FILENAME EQUAL NAME ')' ';'
initval_file : INITVAL_FILE '(' FILENAME_KEYWORD EQUAL NAME ')' ';'
{ driver.initval_file($5); }
;
@ -1117,44 +1119,25 @@ dynasave : DYNASAVE '(' NAME ')'';'
{ driver.run_dynasave($2, $4); }
;
model_comparison : MODEL_COMPARISON '(' model_comparison_options ')' filename_list ';'
{ driver.run_model_comparison(); };
model_comparison : MODEL_COMPARISON mc_filename_list ';'
{ driver.run_model_comparison(); }
| MODEL_COMPARISON '(' o_marginal_density ')' mc_filename_list ';'
{ driver.run_model_comparison(); }
;
model_comparison_options : model_comparison_options COMMA model_comparison_option
| model_comparison_option
;
model_comparison_option : o_model_comparison_approximation
| o_print
| o_noprint
;
filename_list : filename
{ driver.add_mc_filename($1); }
| filename_list COMMA filename
{ driver.add_mc_filename($3); }
| filename '(' value ')'
{ driver.add_mc_filename($1, $3); }
| filename_list COMMA filename '(' value ')'
{ driver.add_mc_filename($3, $5); }
;
filename : filename_elem
{ $$ = $1; }
| filename filename_elem
{ $1->append(*$2); delete $2; $$ = $1; }
;
filename_elem : NAME
| '\\'
{ $$ = new string("\\"); }
| DIVIDE
{ $$ = new string("/"); }
| ':'
{ $$ = new string(":"); }
| '.'
{ $$ = new string("."); }
;
mc_filename_list : FILENAME
{ driver.add_mc_filename($1); }
| FILENAME '(' value ')'
{ driver.add_mc_filename($1, $3); }
| mc_filename_list FILENAME
{ driver.add_mc_filename($2); }
| mc_filename_list FILENAME '(' value ')'
{ driver.add_mc_filename($2, $4); }
| mc_filename_list COMMA FILENAME
{ driver.add_mc_filename($3); }
| mc_filename_list COMMA FILENAME '(' value ')'
{ driver.add_mc_filename($3, $5); }
;
planner_objective : PLANNER_OBJECTIVE { driver.begin_planner_objective(); }
hand_side { driver.end_planner_objective($3); } ';';
@ -1375,11 +1358,11 @@ o_filtered_vars : FILTERED_VARS { driver.option_num("filtered_vars", "1"); };
o_relative_irf : RELATIVE_IRF { driver.option_num("relative_irf", "1"); };
o_kalman_algo : KALMAN_ALGO EQUAL INT_NUMBER { driver.option_num("kalman_algo", $3); };
o_kalman_tol : KALMAN_TOL EQUAL INT_NUMBER { driver.option_num("kalman_tol", $3); };
o_model_comparison_approximation : MODEL_COMPARISON_APPROXIMATION EQUAL LAPLACE
{ driver.option_str("model_comparison_approximation", "Laplace"); }
| MODEL_COMPARISON_APPROXIMATION EQUAL MODIFIEDHARMONICMEAN
{ driver.option_str("model_comparison_approximation", "MODIFIEDHARMONICMEAN"); }
;
o_marginal_density : MARGINAL_DENSITY EQUAL LAPLACE
{ driver.option_str("mc_marginal_density", "laplace"); }
| MARGINAL_DENSITY EQUAL MODIFIEDHARMONICMEAN
{ driver.option_str("mc_marginal_density", "modifiedharmonicmean"); }
;
o_print : PRINT { driver.option_num("noprint", "0"); };
o_noprint : NOPRINT { driver.option_num("noprint", "1"); };
o_xls_sheet : XLS_SHEET EQUAL NAME { driver.option_str("xls_sheet", $3); };

9
DynareFlex.ll
View File

@ -204,13 +204,13 @@ int sigma_e = 0;
<DYNARE_STATEMENT>periods {return token::PERIODS;}
<DYNARE_STATEMENT>cutoff {return token::CUTOFF;}
<DYNARE_STATEMENT>markowitz {return token::MARKOWITZ;}
<DYNARE_STATEMENT>model_comparison_approximation {return token::MODEL_COMPARISON;}
<DYNARE_STATEMENT>marginal_density {return token::MARGINAL_DENSITY;}
<DYNARE_STATEMENT>laplace {return token::LAPLACE;}
<DYNARE_STATEMENT>modifiedharmonicmean {return token::MODIFIEDHARMONICMEAN;}
<DYNARE_STATEMENT>constant {return token::CONSTANT;}
<DYNARE_STATEMENT>noconstant {return token::NOCONSTANT;}
<DYNARE_STATEMENT>covar {return token::COVAR;}
<DYNARE_STATEMENT>filename {return token::FILENAME;}
<DYNARE_STATEMENT>filename {return token::FILENAME_KEYWORD;}
<DYNARE_STATEMENT>diffuse_filter {return token::DIFFUSE_FILTER;}
<DYNARE_STATEMENT>bvar_prior_tau { return token::BVAR_PRIOR_TAU; }
@ -380,6 +380,11 @@ int sigma_e = 0;
return token::INT_NUMBER;
}
<DYNARE_STATEMENT,DYNARE_BLOCK>[A-Za-z0-9_/:\\\.]+ {
yylval->string_val = new string(yytext);
return token::FILENAME;
}
/* an instruction starting with a recognized symbol (which is not a modfile local variable)
is passed as NAME,
otherwise it is a native statement until the end of the line

2
include/ComputingTasks.hh
View File

@ -292,7 +292,7 @@ public:
class ModelComparisonStatement : public Statement
{
public:
typedef map<string, string, less<string> > filename_list_type;
typedef map<string, string> filename_list_type;
private:
filename_list_type filename_list;
OptionsList options_list;