New “add” and “multiply” keywords in “shocks(learnt_in=…)” block
Sébastien Villemot
parent
dbe14ecfd4
commit
76a16a69a8
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@ -175,7 +175,7 @@ class ParsingDriver;
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%token HETEROSKEDASTIC_FILTER TIME_SHIFT STRUCTURAL TERMINAL_STEADY_STATE_AS_GUESS_VALUE CONSTANT_SIMULATION_LENGTH
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%token SURPRISE OCCBIN_CONSTRAINTS
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%token PAC_TARGET_INFO COMPONENT TARGET AUXNAME AUXNAME_TARGET_NONSTATIONARY PAC_TARGET_NONSTATIONARY
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%token <string> KIND LL DL DD
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%token <string> KIND LL DL DD ADD MULTIPLY
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/* Method of Moments */
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%token METHOD_OF_MOMENTS MOM_METHOD
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%token BARTLETT_KERNEL_LAG WEIGHTING_MATRIX WEIGHTING_MATRIX_SCALING_FACTOR ANALYTIC_STANDARD_ERRORS ANALYTIC_JACOBIAN PENALIZED_ESTIMATOR VERBOSE
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@ -1152,7 +1152,11 @@ shock_elem : det_shock_elem
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;
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det_shock_elem : VAR symbol ';' PERIODS period_list ';' VALUES value_list ';'
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{ driver.add_det_shock($2, $5, $8, false); }
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{ driver.add_det_shock($2, $5, $8, ParsingDriver::DetShockType::standard); }
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| VAR symbol ';' PERIODS period_list ';' ADD value_list ';'
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{ driver.add_det_shock($2, $5, $8, ParsingDriver::DetShockType::add); }
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| VAR symbol ';' PERIODS period_list ';' MULTIPLY value_list ';'
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{ driver.add_det_shock($2, $5, $8, ParsingDriver::DetShockType::multiply); }
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;
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det_shock_list : det_shock_list det_shock_elem
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@ -3207,7 +3211,7 @@ conditional_forecast_paths_shock_list : conditional_forecast_paths_shock_elem
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;
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conditional_forecast_paths_shock_elem : VAR symbol ';' PERIODS period_list ';' VALUES value_list ';'
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{ driver.add_det_shock($2, $5, $8, true); }
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{ driver.add_det_shock($2, $5, $8, ParsingDriver::DetShockType::conditional_forecast); }
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;
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steady_state_model : STEADY_STATE_MODEL ';' { driver.begin_steady_state_model(); }
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@ -4284,6 +4288,8 @@ symbol : NAME
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| LL
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| DL
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| DD
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| ADD
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| MULTIPLY
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;
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%%
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@ -770,6 +770,14 @@ DATE -?[0-9]+([ya]|m([1-9]|1[0-2])|q[1-4])
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<DYNARE_BLOCK>corr {return token::CORR;}
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<DYNARE_BLOCK>periods {return token::PERIODS;}
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<DYNARE_BLOCK>scales {return token::SCALES;}
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<DYNARE_BLOCK>add {
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yylval->build<string>(yytext);
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return token::ADD;
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}
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<DYNARE_BLOCK>multiply {
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yylval->build<string>(yytext);
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return token::MULTIPLY;
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}
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<DYNARE_STATEMENT,DYNARE_BLOCK>cutoff {return token::CUTOFF;}
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<DYNARE_STATEMENT,DYNARE_BLOCK>mfs {return token::MFS;}
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<DYNARE_STATEMENT,DYNARE_BLOCK>balanced_growth_test_tol {return token::BALANCED_GROWTH_TEST_TOL;}
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@ -841,6 +841,10 @@ ParsingDriver::end_shocks(bool overwrite)
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mod_file->addStatement(make_unique<ShocksStatement>(overwrite, det_shocks, var_shocks, std_shocks,
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covar_shocks, corr_shocks, mod_file->symbol_table));
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det_shocks.clear();
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if (!learnt_shocks_add.empty())
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error("shocks: 'add' keyword not allowed unless 'learnt_in' option is passed");
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if (!learnt_shocks_multiply.empty())
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error("shocks: 'multiply' keyword not allowed unless 'learnt_in' option is passed");
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var_shocks.clear();
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std_shocks.clear();
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covar_shocks.clear();
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@ -852,6 +856,10 @@ ParsingDriver::end_mshocks(bool overwrite)
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{
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mod_file->addStatement(make_unique<MShocksStatement>(overwrite, det_shocks, mod_file->symbol_table));
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det_shocks.clear();
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if (!learnt_shocks_add.empty())
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error("mshocks: 'add' keyword not allowed");
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if (!learnt_shocks_multiply.empty())
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error("mshocks: 'multiply' keyword not allowed");
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}
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void
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@ -859,6 +867,10 @@ ParsingDriver::end_shocks_surprise(bool overwrite)
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{
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mod_file->addStatement(make_unique<ShocksSurpriseStatement>(overwrite, det_shocks, mod_file->symbol_table));
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det_shocks.clear();
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if (!learnt_shocks_add.empty())
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error("shocks(surprise): 'add' keyword not allowed");
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if (!learnt_shocks_multiply.empty())
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error("shocks(surprise): 'multiply' keyword not allowed");
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}
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void
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@ -871,8 +883,35 @@ ParsingDriver::end_shocks_learnt_in(const string &learnt_in_period, bool overwri
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for (auto [period1, period2, expr] : vals)
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if (period1 < learnt_in_period_int)
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error("shocks: for variable " + mod_file->symbol_table.getName(symb_id) + ", shock period (" + to_string(period1) + ") is earlier than the period in which the shock is learnt (" + learnt_in_period + ")");
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mod_file->addStatement(make_unique<ShocksLearntInStatement>(learnt_in_period_int, overwrite, det_shocks, mod_file->symbol_table));
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// Aggregate the three types of shocks
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ShocksLearntInStatement::learnt_shocks_t learnt_shocks;
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for (const auto &[id, v] : det_shocks)
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{
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vector<tuple<ShocksLearntInStatement::LearntShockType, int, int, expr_t>> v2;
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for (auto [period1, period2, value] : v)
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v2.emplace_back(ShocksLearntInStatement::LearntShockType::level, period1, period2, value);
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learnt_shocks[id] = v2;
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}
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for (const auto &[id, v] : learnt_shocks_add)
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{
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vector<tuple<ShocksLearntInStatement::LearntShockType, int, int, expr_t>> v2;
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for (auto [period1, period2, value] : v)
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v2.emplace_back(ShocksLearntInStatement::LearntShockType::add, period1, period2, value);
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learnt_shocks[id] = v2;
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}
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for (const auto &[id, v] : learnt_shocks_multiply)
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{
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vector<tuple<ShocksLearntInStatement::LearntShockType, int, int, expr_t>> v2;
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for (auto [period1, period2, value] : v)
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v2.emplace_back(ShocksLearntInStatement::LearntShockType::multiply, period1, period2, value);
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learnt_shocks[id] = v2;
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}
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mod_file->addStatement(make_unique<ShocksLearntInStatement>(learnt_in_period_int, overwrite, learnt_shocks, mod_file->symbol_table));
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det_shocks.clear();
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learnt_shocks_add.clear();
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learnt_shocks_multiply.clear();
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}
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void
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@ -885,16 +924,28 @@ ParsingDriver::end_heteroskedastic_shocks(bool overwrite)
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}
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void
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ParsingDriver::add_det_shock(const string &var, const vector<pair<int, int>> &periods, const vector<expr_t> &values, bool conditional_forecast)
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ParsingDriver::add_det_shock(const string &var, const vector<pair<int, int>> &periods, const vector<expr_t> &values, DetShockType type)
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{
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if (conditional_forecast)
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check_symbol_is_endogenous(var);
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else
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check_symbol_is_exogenous(var, true);
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switch (type)
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{
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case DetShockType::conditional_forecast:
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check_symbol_is_endogenous(var);
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break;
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case DetShockType::standard:
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// Allow exo_det, for stochastic context
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check_symbol_is_exogenous(var, true);
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break;
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case DetShockType::add:
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case DetShockType::multiply:
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check_symbol_is_exogenous(var, false);
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break;
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}
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int symb_id = mod_file->symbol_table.getID(var);
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if (det_shocks.find(symb_id) != det_shocks.end())
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if (det_shocks.find(symb_id) != det_shocks.end()
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|| learnt_shocks_add.find(symb_id) != learnt_shocks_add.end()
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|| learnt_shocks_multiply.find(symb_id) != learnt_shocks_multiply.end())
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error("shocks/conditional_forecast_paths: variable " + var + " declared twice");
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if (periods.size() != values.size())
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@ -905,7 +956,19 @@ ParsingDriver::add_det_shock(const string &var, const vector<pair<int, int>> &pe
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for (size_t i = 0; i < periods.size(); i++)
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v.emplace_back(periods[i].first, periods[i].second, values[i]);
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det_shocks[symb_id] = v;
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switch (type)
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{
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case DetShockType::standard:
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case DetShockType::conditional_forecast:
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det_shocks[symb_id] = v;
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break;
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case DetShockType::add:
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learnt_shocks_add[symb_id] = v;
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break;
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case DetShockType::multiply:
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learnt_shocks_multiply[symb_id] = v;
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break;
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}
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}
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void
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@ -2435,6 +2498,10 @@ ParsingDriver::conditional_forecast_paths()
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{
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mod_file->addStatement(make_unique<ConditionalForecastPathsStatement>(det_shocks, mod_file->symbol_table));
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det_shocks.clear();
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if (!learnt_shocks_add.empty())
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error("conditional_forecast_paths: 'add' keyword not allowed");
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if (!learnt_shocks_multiply.empty())
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error("conditional_forecast_paths: 'multiply' keyword not allowed");
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}
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void
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@ -150,8 +150,11 @@ private:
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//! Temporary storage of covariances from optim_weights
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OptimWeightsStatement::covar_weights_t covar_weights;
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/* Temporary storage for deterministic shocks. Also used for
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conditional_forecast paths and for surprise shocks. */
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conditional_forecast paths, for shocks(surprise), and shocks(learnt_in=…)
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(for the latter, only used for shocks declared in level through “values”). */
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ShocksStatement::det_shocks_t det_shocks;
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// Temporary storage for shocks declared with “add” and “multiply” in shocks(learnt_in=…)
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ShocksStatement::det_shocks_t learnt_shocks_add, learnt_shocks_multiply;
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//! Temporary storage for variances of shocks
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ShocksStatement::var_and_std_shocks_t var_shocks;
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//! Temporary storage for standard errors of shocks
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@ -455,7 +458,14 @@ public:
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void end_heteroskedastic_shocks(bool overwrite);
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/* Adds a deterministic shock, a path element inside a
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conditional_forecast_paths block, or a surprise shock */
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void add_det_shock(const string &var, const vector<pair<int, int>> &periods, const vector<expr_t> &values, bool conditional_forecast);
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enum class DetShockType
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{
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standard,
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add, // for “add” in “shocks(learnt_in)”
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multiply, // for “multiply” in “shocks(learnt_in)”
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conditional_forecast
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};
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void add_det_shock(const string &var, const vector<pair<int, int>> &periods, const vector<expr_t> &values, DetShockType type);
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//! Adds a heteroskedastic shock (either values or scales)
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void add_heteroskedastic_shock(const string &var, const vector<pair<int, int>> &periods, const vector<expr_t> &values, bool scales);
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//! Adds a std error shock
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@ -492,7 +492,7 @@ ShocksSurpriseStatement::writeJsonOutput(ostream &output) const
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}
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ShocksLearntInStatement::ShocksLearntInStatement(int learnt_in_period_arg, bool overwrite_arg,
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AbstractShocksStatement::det_shocks_t learnt_shocks_arg,
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learnt_shocks_t learnt_shocks_arg,
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const SymbolTable &symbol_table_arg) :
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learnt_in_period{learnt_in_period_arg}, overwrite{overwrite_arg},
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learnt_shocks{move(learnt_shocks_arg)}, symbol_table{symbol_table_arg}
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@ -505,6 +505,21 @@ ShocksLearntInStatement::checkPass(ModFileStructure &mod_file_struct, WarningCon
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mod_file_struct.shocks_learnt_in_present = true;
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}
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string
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ShocksLearntInStatement::typeToString(LearntShockType type)
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{
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switch (type)
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{
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case LearntShockType::level:
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return "level";
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case LearntShockType::add:
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return "add";
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case LearntShockType::multiply:
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return "multiply";
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}
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exit(EXIT_FAILURE); // Silence GCC warning
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}
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void
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ShocksLearntInStatement::writeOutput(ostream &output, const string &basename, bool minimal_workspace) const
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{
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@ -516,11 +531,12 @@ ShocksLearntInStatement::writeOutput(ostream &output, const string &basename, bo
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output << "M_.learnt_shocks = [ M_.learnt_shocks;" << endl;
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for (const auto &[id, shock_vec] : learnt_shocks)
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{
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for (const auto &[period1, period2, value] : shock_vec)
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for (const auto &[type, period1, period2, value] : shock_vec)
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{
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output << "struct('learnt_in'," << learnt_in_period
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<< ",'exo_id'," << symbol_table.getTypeSpecificID(id)+1
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<< ",'periods'," << period1 << ":" << period2
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<< ",'type','" << typeToString(type) << "'"
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<< ",'value',";
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value->writeOutput(output);
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output << ");" << endl;
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@ -544,11 +560,12 @@ ShocksLearntInStatement::writeJsonOutput(ostream &output) const
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<< R"("values": [)";
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for (auto it1 = it->second.begin(); it1 != it->second.end(); ++it1)
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{
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auto [period1, period2, value] = *it1;
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auto [type, period1, period2, value] = *it1;
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if (it1 != it->second.begin())
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output << ", ";
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output << R"({"period1": )" << period1 << ", "
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<< R"("period2": )" << period2 << ", "
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<< R"("type": ")" << typeToString(type) << R"(", )"
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<< R"("value": ")";
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value->writeJsonOutput(output, {}, {});
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output << R"("})";
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@ -115,12 +115,21 @@ public:
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const int learnt_in_period;
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//! Does this "shocks(learnt_in=…)" statement replace the previous ones?
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const bool overwrite;
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const AbstractShocksStatement::det_shocks_t learnt_shocks;
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enum class LearntShockType
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{
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level,
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add,
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multiply
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};
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// The tuple is (type, period1, period2, value)
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using learnt_shocks_t = map<int, vector<tuple<LearntShockType, int, int, expr_t>>>;
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const learnt_shocks_t learnt_shocks;
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private:
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const SymbolTable &symbol_table;
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static string typeToString(LearntShockType type);
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public:
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ShocksLearntInStatement(int learnt_in_period_arg, bool overwrite_arg,
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AbstractShocksStatement::det_shocks_t learnt_shocks_arg,
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learnt_shocks_t learnt_shocks_arg,
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const SymbolTable &symbol_table_arg);
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void checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings) override;
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void writeOutput(ostream &output, const string &basename, bool minimal_workspace) const override;
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