ms-sbvar: add restrictions option
Houtan Bastani
parent
67f3a0ecc0
commit
8d369bd710
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@ -27,6 +27,11 @@ using namespace std;
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#include "ComputingTasks.hh"
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#include "Statement.hh"
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#include <boost/algorithm/string/trim.hpp>
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#include <boost/algorithm/string/split.hpp>
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#include <boost/lexical_cast.hpp>
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#include <boost/tokenizer.hpp>
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SteadyStatement::SteadyStatement(const OptionsList &options_list_arg) :
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options_list(options_list_arg)
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{
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@ -1345,6 +1350,144 @@ SvarIdentificationStatement::writeOutput(ostream &output, const string &basename
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MarkovSwitchingStatement::MarkovSwitchingStatement(const OptionsList &options_list_arg) :
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options_list(options_list_arg)
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{
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OptionsList::num_options_t::const_iterator it_num = options_list.num_options.find("ms.restrictions");
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if (it_num != options_list.num_options.end())
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{
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using namespace boost;
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OptionsList::num_options_t::const_iterator it_num_regimes =
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options_list.num_options.find("ms.number_of_regimes");
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if (it_num_regimes == options_list.num_options.end())
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{
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cerr << "ERROR: should not arrive here: MarkovSwitchingStatement::checkPass" << endl;
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exit(EXIT_FAILURE);
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}
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int num_regimes = lexical_cast< int >(it_num_regimes->second);
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vector<string> tokenizedRestrictions;
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split(tokenizedRestrictions, it_num->second, is_any_of("["), token_compress_on);
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for (vector<string>::iterator it = tokenizedRestrictions.begin();
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it != tokenizedRestrictions.end(); it++ )
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if (it->size() > 0)
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{
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vector<string> restriction;
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split(restriction, *it, is_any_of("], "));
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for (vector<string>::iterator it1 = restriction.begin();
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it1 != restriction.end(); )
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if (it1->empty())
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restriction.erase(it1);
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else
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it1++;
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if (restriction.size() != 3)
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{
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cerr << "ERROR: restrictions in the subsample statement must be specified in the form "
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<< "[current_period_regime, next_period_regime, transition_probability]" << endl;
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exit(EXIT_FAILURE);
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}
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try
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{
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int from_regime = lexical_cast< int >(restriction[0]);
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int to_regime = lexical_cast< int >(restriction[1]);
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if (from_regime > num_regimes || to_regime > num_regimes)
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{
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cerr << "ERROR: the regimes specified in the restrictions option must be "
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<< "<= the number of regimes specified in the number_of_regimes option" << endl;
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exit(EXIT_FAILURE);
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}
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if (restriction_map.find(make_pair(from_regime, to_regime)) !=
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restriction_map.end())
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{
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cerr << "ERROR: two restrictions were given for: " << from_regime << ", "
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<< to_regime << endl;
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exit(EXIT_FAILURE);
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}
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double transition_probability = lexical_cast< double >(restriction[2]);
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if (transition_probability > 1.0)
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{
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cerr << "ERROR: the transition probability, " << transition_probability
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<< " must be less than 1" << endl;
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exit(EXIT_FAILURE);
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}
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restriction_map[make_pair(from_regime, to_regime)] = transition_probability;
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}
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catch (const bad_lexical_cast &)
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{
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cerr << "ERROR: The first two arguments for a restriction must be integers "
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<< "specifying the regime and the last must be a double specifying the "
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<< "transition probability. You wrote [" << *it << endl;
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exit(EXIT_FAILURE);
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}
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}
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}
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}
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void
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MarkovSwitchingStatement::checkPass(ModFileStructure &mod_file_struct)
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{
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OptionsList::num_options_t::const_iterator it_num = options_list.num_options.find("ms.restrictions");
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if (it_num != options_list.num_options.end())
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{
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using namespace boost;
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OptionsList::num_options_t::const_iterator it_num_regimes =
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options_list.num_options.find("ms.number_of_regimes");
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int num_regimes = lexical_cast< int >(it_num_regimes->second);
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vector<double> col_trans_prob_sum (num_regimes, 0);
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vector<double> row_trans_prob_sum (num_regimes, 0);
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vector<bool> all_restrictions_in_row (num_regimes, true);
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vector<bool> all_restrictions_in_col (num_regimes, true);
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for (int row=0; row<num_regimes; row++)
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for (int col=0; col<num_regimes; col++)
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if (restriction_map.find(make_pair(row+1, col+1)) != restriction_map.end())
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{
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row_trans_prob_sum[row] += restriction_map[make_pair(row+1, col+1)];
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col_trans_prob_sum[col] += restriction_map[make_pair(row+1, col+1)];
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}
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else
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{
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all_restrictions_in_row[row] = false;
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all_restrictions_in_col[col] = false;
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}
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for (int i=0; i<num_regimes; i++)
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{
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if (all_restrictions_in_row[i])
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{
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if (row_trans_prob_sum[i] != 1.0)
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{
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cerr << "ERROR: When all transitions probabilities are specified for a certain "
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<< "regime, they must sum to 1" << endl;
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exit(EXIT_FAILURE);
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}
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}
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else
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if (row_trans_prob_sum[i] >= 1.0)
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{
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cerr << "ERROR: When transition probabilites are not specified for every regime, "
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<< "their sum must be < 1" << endl;
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exit(EXIT_FAILURE);
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}
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if (all_restrictions_in_col[i])
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{
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if (col_trans_prob_sum[i] != 1.0)
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{
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cerr << "ERROR: When all transitions probabilities are specified for a certain "
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<< "regime, they must sum to 1" << endl;
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exit(EXIT_FAILURE);
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}
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}
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else
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if (col_trans_prob_sum[i] >= 1.0)
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{
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cerr << "ERROR: When transition probabilites are not specified for every regime, "
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<< "their sum must be < 1" << endl;
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exit(EXIT_FAILURE);
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}
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}
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}
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}
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void
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@ -1353,18 +1496,21 @@ MarkovSwitchingStatement::writeOutput(ostream &output, const string &basename) c
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bool isDurationAVec = true;
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string infStr("Inf");
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OptionsList::num_options_t::const_iterator itChain, itNOR, itDuration;
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map<pair<int, int>, double >::const_iterator itR;
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itChain = options_list.num_options.find("ms.chain");
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if (itChain == options_list.num_options.end())
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{
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cerr << "MarkovSwitchingStatement::writeOutput() Should not arrive here (1). Please report this to the Dynare Team." << endl;
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cerr << "MarkovSwitchingStatement::writeOutput() Should not arrive here (1). "
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<< "Please report this to the Dynare Team." << endl;
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exit(EXIT_FAILURE);
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}
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itDuration = options_list.num_options.find("ms.duration");
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if (itDuration == options_list.num_options.end())
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{
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cerr << "MarkovSwitchingStatement::writeOutput() Should not arrive here (2). Please report this to the Dynare Team." << endl;
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cerr << "MarkovSwitchingStatement::writeOutput() Should not arrive here (2). "
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<< "Please report this to the Dynare Team." << endl;
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exit(EXIT_FAILURE);
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}
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else if (atof(itDuration->second.c_str()) || infStr.compare(itDuration->second) == 0)
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@ -1383,9 +1529,16 @@ MarkovSwitchingStatement::writeOutput(ostream &output, const string &basename) c
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}
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else
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{
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cerr << "MarkovSwitchingStatement::writeOutput() Should not arrive here (3). Please report this to the Dynare Team." << endl;
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cerr << "MarkovSwitchingStatement::writeOutput() Should not arrive here (3). "
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<< "Please report this to the Dynare Team." << endl;
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exit(EXIT_FAILURE);
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}
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int restrictions_index = 0;
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for (itR=restriction_map.begin(); itR != restriction_map.end(); itR++)
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output << "options_.ms.ms_chain(" << itChain->second << ").restrictions("
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<< ++restrictions_index << ") = {[" << itR->first.first << ", "
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<< itR->first.second << ", " << itR->second << "]};" << endl;
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}
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SvarStatement::SvarStatement(const OptionsList &options_list_arg) :
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@ -542,8 +542,10 @@ class MarkovSwitchingStatement : public Statement
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{
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private:
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const OptionsList options_list;
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map <pair<int, int >, double > restriction_map;
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public:
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MarkovSwitchingStatement(const OptionsList &options_list_arg);
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virtual void checkPass(ModFileStructure &mod_file_struct);
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virtual void writeOutput(ostream &output, const string &basename) const;
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};
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@ -151,7 +151,7 @@ class ParsingDriver;
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%token GSIG2_LMDM Q_DIAG FLAT_PRIOR NCSK NSTD
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%token INDXPARR INDXOVR INDXAP APBAND INDXIMF IMFBAND INDXFORE FOREBAND INDXGFOREHAT INDXGIMFHAT
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%token INDXESTIMA INDXGDLS EQ_MS FILTER_COVARIANCE FILTER_DECOMPOSITION
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%token EQ_CMS TLINDX TLNUMBER BANACT
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%token EQ_CMS TLINDX TLNUMBER BANACT RESTRICTIONS
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%token OUTPUT_FILE_TAG DRAWS_NBR_BURN_IN_1 DRAWS_NBR_BURN_IN_2 HORIZON
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%token SBVAR TREND_VAR DEFLATOR GROWTH_FACTOR MS_IRF MS_VARIANCE_DECOMPOSITION
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%token MS_ESTIMATION MS_SIMULATION MS_COMPUTE_MDD MS_COMPUTE_PROBABILITIES MS_FORECAST
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@ -175,7 +175,7 @@ class ParsingDriver;
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%type <node_val> expression expression_or_empty
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%type <node_val> equation hand_side
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%type <string_val> non_negative_number signed_number signed_integer date_number
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%type <string_val> filename symbol prior_distribution
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%type <string_val> filename symbol prior_distribution vec_of_vec_value vec_value_list
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%type <string_val> vec_value_1 vec_value signed_inf signed_number_w_inf
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%type <string_val> range prior_pdf_string vec_value_w_inf vec_value_1_w_inf
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%type <symbol_type_val> change_type_arg
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@ -741,6 +741,7 @@ ms_options_list : ms_options_list COMMA ms_options
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ms_options : o_chain
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| o_duration
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| o_restrictions
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| o_number_of_regimes
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;
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@ -2219,6 +2220,9 @@ o_cnum : CNUM EQUAL INT_NUMBER {driver.option_num("ms.cnum",$3); };
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o_k_order_solver : K_ORDER_SOLVER {driver.option_num("k_order_solver","1"); };
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o_pruning : PRUNING { driver.option_num("pruning", "1"); };
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o_chain : CHAIN EQUAL INT_NUMBER { driver.option_num("ms.chain",$3); };
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o_restrictions : RESTRICTIONS EQUAL vec_of_vec_value
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{ driver.option_num("ms.restrictions",$3); }
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;
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o_duration : DURATION EQUAL non_negative_number
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{ driver.option_num("ms.duration",$3); }
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| DURATION EQUAL vec_value_w_inf
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@ -2384,6 +2388,20 @@ vec_value : vec_value_1 ']' { $1->append("]"); $$ = $1; }
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| vec_value_1 COMMA ']' { $1->append("]"); $$ = $1; }
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;
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vec_value_list : vec_value_list COMMA vec_value
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{
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$1->append(",");
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$1->append(*$3);
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delete $3;
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$$ = $1;
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}
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| vec_value
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{ $$ = $1; }
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;
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vec_of_vec_value : '[' vec_value_list ']' { $$ = $2; }
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| vec_value { $$ = $1; };
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vec_value_1_w_inf : '[' signed_number_w_inf
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{ $2->insert(0, "["); $$ = $2;}
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| vec_value_1_w_inf signed_number_w_inf
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@ -282,6 +282,7 @@ string eofbuff;
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<DYNARE_STATEMENT>vlistper {return token::VLISTPER;}
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<DYNARE_STATEMENT>restriction_fname {return token::RESTRICTION_FNAME;}
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<DYNARE_STATEMENT>nlags {return token::NLAGS;}
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<DYNARE_STATEMENT>restrictions {return token::RESTRICTIONS;}
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<DYNARE_STATEMENT>cross_restrictions {return token::CROSS_RESTRICTIONS;}
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<DYNARE_STATEMENT>contemp_reduced_form {return token::CONTEMP_REDUCED_FORM;}
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<DYNARE_STATEMENT>real_pseudo_forecast {return token::REAL_PSEUDO_FORECAST;}
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