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preprocessor: var_model: pac_expectation: add more information to var_model

issue#70
Houtan Bastani 2018-02-08 13:07:15 +01:00
parent abd3be9928
commit ac8e8f641e
8 changed files with 395 additions and 171 deletions
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164
ComputingTasks.cc
View File

@ -260,31 +260,90 @@ PriorPosteriorFunctionStatement::writeJsonOutput(ostream &output) const
VarModelStatement::VarModelStatement(const SymbolList &symbol_list_arg,
const OptionsList &options_list_arg,
const string &name_arg) :
const string &name_arg,
const SymbolTable &symbol_table_arg) :
symbol_list(symbol_list_arg),
options_list(options_list_arg),
name(name_arg)
name(name_arg),
symbol_table(symbol_table_arg)
{
}
void
VarModelStatement::getVarModelNameAndVarList(map<string, pair<map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > >, pair<SymbolList, int> > > &var_model_info) const
VarModelStatement::getVarModelInfoForVarExpectation(map<string, pair<SymbolList, int> > &var_model_info) const
{
if (symbol_list.empty())
return;
OptionsList::num_options_t::const_iterator it = options_list.num_options.find("var.order");
var_model_info[name] = make_pair(symbol_list, atoi(it->second.c_str()));
}
void
VarModelStatement::getVarModelEqTags(vector<string> &var_model_eqtags) const
{
set<pair<int, int> > empty_int_set;
map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > eqtagmap;
if (!symbol_list.empty())
{
OptionsList::num_options_t::const_iterator it = options_list.num_options.find("var.order");
vector<string> empty_str_vec;
var_model_info[name] = make_pair(eqtagmap, make_pair(symbol_list, atoi(it->second.c_str())));
}
else
{
OptionsList::vec_str_options_t::const_iterator it1 = options_list.vector_str_options.find("var.eqtags");
for (vector<string>::const_iterator it = it1->second.begin(); it != it1->second.end(); it++)
eqtagmap[make_pair(*it, -1)] = make_pair(make_pair(0, empty_int_set), empty_int_set);
var_model_info[name] = make_pair(eqtagmap, make_pair(symbol_list, 0));
}
return;
OptionsList::vec_str_options_t::const_iterator it1 =
options_list.vector_str_options.find("var.eqtags");
var_model_eqtags = it1->second;
}
void
VarModelStatement::fillVarModelInfoFromEquations(vector<int> &eqnumber_arg, vector<int> &lhs_arg,
vector<set<pair<int, int> > > &rhs_arg,
vector<bool> &nonstationary_arg,
vector<bool> &diff_arg, vector<int> &orig_diff_var_arg)
{
eqnumber = eqnumber_arg;
lhs = lhs_arg;
nonstationary = nonstationary_arg;
diff = diff_arg;
orig_diff_var = orig_diff_var_arg;
// Order RHS vars by time (already ordered by equation tag)
for (vector<set<pair<int, int> > >::const_iterator it = rhs_arg.begin();
it != rhs_arg.end(); it++)
for (set<pair<int, int> >::const_iterator it1 = it->begin();
it1 != it->end(); it1++)
if (find(lhs.begin(), lhs.end(), it1->first) == lhs.end()
&& find(orig_diff_var.begin(), orig_diff_var.end(), it1->first) == orig_diff_var.end())
{
cerr << "ERROR " << name << ": " << symbol_table.getName(it1->first)
<< " cannot appear in the VAR because it does not appear on the LHS" << endl;
exit(EXIT_FAILURE);
}
else
{
map<int, set<int> >::iterator mit = rhs.find(abs(it1->second));
if (mit == rhs.end())
{
if (it1->second > 0)
{
cerr << "ERROR " << name << ": you cannot have a variable with a lead in a VAR" << endl;
exit(EXIT_FAILURE);
}
set<int> si;
si.insert(it1->first);
rhs[abs(it1->second)] = si;
}
else
mit->second.insert(it1->first);
}
}
void
VarModelStatement::getVarModelName(string &var_model_name) const
{
var_model_name = name;
}
void
VarModelStatement::getVarModelRHS(map<int, set<int > > &rhs_arg) const
{
rhs_arg = rhs;
}
void
@ -298,8 +357,79 @@ VarModelStatement::writeOutput(ostream &output, const string &basename, bool min
options_list.writeOutput(output);
if (!symbol_list.empty())
symbol_list.writeOutput("options_.var.var_list_", output);
output << "options_.var.lhs = [";
for (vector<int>::const_iterator it = lhs.begin();
it != lhs.end(); it++)
{
if (it != lhs.begin())
output << " ";
output << symbol_table.getTypeSpecificID(*it) + 1;
}
output << "];" << endl
<< "options_.var.rhs.lag = [";
for (map<int, set<int> >::const_iterator it = rhs.begin();
it != rhs.end(); it++)
{
if (it != rhs.begin())
output << " ";
output << it->first;
}
output << "];" << endl;
int i = 1;
for (map<int, set<int> >::const_iterator it = rhs.begin();
it != rhs.end(); it++, i++)
{
output << "options_.var.rhs.vars_at_lag{" << i << "} = [";
for (set<int>::const_iterator it1 = it->second.begin();
it1 != it->second.end(); it1++)
{
if (it1 != it->second.begin())
output << " ";
output << symbol_table.getTypeSpecificID(*it1) + 1;
}
output << "];" << endl;
}
output << "options_.var.nonstationary = logical([";
for (vector<bool>::const_iterator it = nonstationary.begin();
it != nonstationary.end(); it++)
{
if (it != nonstationary.begin())
output << " ";
if (*it)
output << "1";
else
output << "0";
}
output << "]);" << endl
<< "options_.var.diff = logical([";
for (vector<bool>::const_iterator it = diff.begin();
it != diff.end(); it++)
{
if (it != diff.begin())
output << " ";
if (*it)
output << "1";
else
output << "0";
}
output << "]);" << endl
<< "options_.var.orig_diff_var = [";
for (vector<int>::const_iterator it = orig_diff_var.begin();
it != orig_diff_var.end(); it++)
{
if (it != orig_diff_var.begin())
output << " ";
if (*it == -1)
output << -1;
else
output << symbol_table.getTypeSpecificID(*it) + 1;
}
output << "];" << endl;
output << "M_.var." << name << " = options_.var;" << endl
<< "clear options_.var;" << endl;
cout << "DONE writing varmodel" << endl;
}
void

16
ComputingTasks.hh
View File

@ -125,11 +125,23 @@ private:
const SymbolList symbol_list;
const OptionsList options_list;
const string &name;
const SymbolTable &symbol_table;
vector<int> eqnumber, lhs, orig_diff_var;
map<int, set<int > > rhs; // lag -> set< symb_id > (all vars that appear at a given lag)
vector<bool> nonstationary, diff;
public:
VarModelStatement(const SymbolList &symbol_list_arg,
const OptionsList &options_list_arg,
const string &name_arg);
void getVarModelNameAndVarList(map<string, pair<map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > >, pair<SymbolList, int> > > &var_model_info) const;
const string &name_arg,
const SymbolTable &symbol_table_arg);
void getVarModelInfoForVarExpectation(map<string, pair<SymbolList, int> > &var_model_info) const;
void getVarModelEqTags(vector<string> &var_model_eqtags) const;
void fillVarModelInfoFromEquations(vector<int> &eqnumber_arg, vector<int> &lhs_arg,
vector<set<pair<int, int> > > &rhs_arg,
vector<bool> &nonstationary_arg,
vector<bool> &diff_arg, vector<int> &orig_diff_var_arg);
void getVarModelName(string &var_model_name) const;
void getVarModelRHS(map<int, set<int > > &rhs_arg) const;
virtual void checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings);
virtual void writeOutput(ostream &output, const string &basename, bool minimal_workspace) const;
void createVarModelMFunction(ostream &output, const map<string, set<int> > &var_expectation_functions_to_write) const;

125
DynamicModel.cc
View File

@ -3235,50 +3235,91 @@ DynamicModel::runTrendTest(const eval_context_t &eval_context)
}
void
DynamicModel::getVarModelVariablesFromEqTags(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info)
DynamicModel::getVarModelVariablesFromEqTags(vector<string> &var_model_eqtags,
vector<int> &eqnumber,
vector<int> &lhs,
vector<set<pair<int, int> > > &rhs,
vector<bool> &nonstationary) const
{
for (map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > >::iterator it = var_model_info.begin(); it != var_model_info.end(); it++)
for (vector<string>::const_iterator itvareqs = var_model_eqtags.begin();
itvareqs != var_model_eqtags.end(); itvareqs++)
{
map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > final_map;
for (map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > >::iterator itvareqs = it->second.begin();
itvareqs != it->second.end(); itvareqs++)
int eqnumber_int = -1;
set<pair<int, int> > lhs_set, lhs_tmp_set, rhs_set;
string eqtag (*itvareqs);
for (vector<pair<int, pair<string, string> > >::const_iterator iteqtag =
equation_tags.begin(); iteqtag != equation_tags.end(); iteqtag++)
if (iteqtag->second.first.compare("name") == 0
&& iteqtag->second.second.compare(eqtag) == 0)
{
eqnumber_int = iteqtag->first;
break;
}
if (eqnumber_int == -1)
{
int eqnumber = -1;
set<pair<int, int> > lhs, rhs;
string eqtag (itvareqs->first.first);
for (vector<pair<int, pair<string, string> > >::const_iterator iteqtag = equation_tags.begin();
iteqtag != equation_tags.end(); iteqtag++)
if (iteqtag->second.first.compare("name") == 0
&& iteqtag->second.second.compare(eqtag) == 0)
{
eqnumber = iteqtag->first;
break;
}
if (eqnumber == -1)
{
cerr << "ERROR: equation tag '" << eqtag << "' not found in var_model " << it->first << endl;
exit(EXIT_FAILURE);
}
int nonstationary = 0;
for (vector<pair<int, pair<string, string> > >::const_iterator iteqtag = equation_tags.begin();
iteqtag != equation_tags.end(); iteqtag++)
if (iteqtag->first == eqnumber)
if (iteqtag->second.first.compare("data_type") == 0
&& iteqtag->second.second.compare("nonstationary") == 0)
{
nonstationary = 1;
break;
}
equations[eqnumber]->get_arg1()->collectDynamicVariables(eEndogenous, lhs);
equations[eqnumber]->get_arg2()->collectDynamicVariables(eEndogenous, rhs);
final_map[make_pair(eqtag, eqnumber)] = make_pair(make_pair(nonstationary, lhs), rhs);
cerr << "ERROR: equation tag '" << eqtag << "' not found" << endl;
exit(EXIT_FAILURE);
}
var_model_info[it->first] = final_map;
bool nonstationary_bool = false;
for (vector<pair<int, pair<string, string> > >::const_iterator iteqtag =
equation_tags.begin(); iteqtag != equation_tags.end(); iteqtag++)
if (iteqtag->first == eqnumber_int)
if (iteqtag->second.first.compare("data_type") == 0
&& iteqtag->second.second.compare("nonstationary") == 0)
{
nonstationary_bool = true;
break;
}
equations[eqnumber_int]->get_arg1()->collectDynamicVariables(eEndogenous, lhs_set);
equations[eqnumber_int]->get_arg1()->collectDynamicVariables(eExogenous, lhs_tmp_set);
equations[eqnumber_int]->get_arg1()->collectDynamicVariables(eParameter, lhs_tmp_set);
if (lhs_set.size() != 1 || !lhs_tmp_set.empty())
{
cerr << "ERROR: A VAR may only have one endogenous variable on the LHS" << endl;
exit(EXIT_FAILURE);
}
set<pair<int, int> >::const_iterator it = lhs_set.begin();
if (it->second != 0)
{
cerr << "ERROR: The variable on the LHS of a VAR may not appear with a lead or a lag" << endl;
exit(EXIT_FAILURE);
}
eqnumber.push_back(eqnumber_int);
lhs.push_back(it->first);
nonstationary.push_back(nonstationary_bool);
equations[eqnumber_int]->get_arg2()->collectDynamicVariables(eEndogenous, rhs_set);
rhs.push_back(rhs_set);
}
}
void
DynamicModel::getDiffInfo(vector<int> &eqnumber, vector<bool> &diff, vector<int> &orig_diff_var) const
{
for (vector<int>::const_iterator it = eqnumber.begin();
it != eqnumber.end(); it++)
{
diff.push_back(equations[*it]->isDiffPresent());
if (diff.back())
{
set<pair<int, int> > diff_set;
equations[*it]->get_arg1()->collectDynamicVariables(eEndogenous, diff_set);
if (diff_set.empty() || diff_set.size() != 1)
{
cerr << "ERROR: problem getting variable for diff operator in equation " << *it << endl;
exit(EXIT_FAILURE);
}
set<pair<int, int> >::const_iterator it1 = diff_set.begin();
orig_diff_var.push_back(it1->first);
}
else
orig_diff_var.push_back(-1);
}
}
@ -3342,10 +3383,12 @@ DynamicModel::addEquationsForVar(map<string, pair<SymbolList, int> > &var_model_
}
void
DynamicModel::fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info)
DynamicModel::fillPacExpectationVarInfo(string &var_model_name,
map<int, set<int > > &rhs,
vector<bool> &nonstationary)
{
for (size_t i = 0; i < equations.size(); i++)
equations[i]->fillPacExpectationVarInfo(var_model_info);
equations[i]->fillPacExpectationVarInfo(var_model_name, rhs, nonstationary);
}
void

16
DynamicModel.hh
View File

@ -283,14 +283,24 @@ public:
//! Set the equations that have non-zero second derivatives
void setNonZeroHessianEquations(map<int, string> &eqs);
//! Fill var_model_info with variables associated with equation tags
void getVarModelVariablesFromEqTags(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info);
//! Get equation info associated with equation tags from var_model
void getVarModelVariablesFromEqTags(vector<string> &var_model_eqtags,
vector<int> &eqnumber,
vector<int> &lhs,
vector<set<pair<int, int> > > &rhs,
vector<bool> &nonstationary) const;
// Get equtaino information on diff operator
void getDiffInfo(vector<int> &eqnumber, vector<bool> &diff, vector<int> &orig_diff_var) const;
//! Set indices for var expectation in dynamic model file
void setVarExpectationIndices(map<string, pair<SymbolList, int> > &var_model_info);
//! Add aux equations (and aux variables) for variables declared in var_model at max order if they don't already exist
void addEquationsForVar(map<string, pair<SymbolList, int> > &var_model_info);
//! Add var_model info to pac_expectation nodes
void fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info);
void fillPacExpectationVarInfo(string &var_model_name,
map<int, set<int > > &rhs,
vector<bool> &nonstationary);
//! Substitutes pac_expectation operator
void substitutePacExpectation();

170
ExprNode.cc
View File

@ -294,6 +294,12 @@ ExprNode::isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_ar
return false;
}
bool
ExprNode::isDiffPresent() const
{
return false;
}
void
ExprNode::getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const
{
@ -307,6 +313,12 @@ NumConstNode::NumConstNode(DataTree &datatree_arg, int id_arg) :
datatree.num_const_node_map[id] = this;
}
bool
NumConstNode::isDiffPresent() const
{
return false;
}
void
NumConstNode::prepareForDerivation()
{
@ -567,7 +579,7 @@ NumConstNode::setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_mo
}
void
NumConstNode::fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info)
NumConstNode::fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg)
{
}
@ -1560,6 +1572,12 @@ VariableNode::detrend(int symb_id, bool log_trend, expr_t trend) const
}
}
bool
VariableNode::isDiffPresent() const
{
return false;
}
expr_t
VariableNode::removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const
{
@ -1617,7 +1635,7 @@ VariableNode::setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_mo
}
void
VariableNode::fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info)
VariableNode::fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg)
{
}
@ -2792,6 +2810,14 @@ UnaryOpNode::substituteAdl() const
return retval;
}
bool
UnaryOpNode::isDiffPresent() const
{
if (op_code == oDiff)
return true;
return arg->isDiffPresent();
}
expr_t
UnaryOpNode::substituteDiff(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const
{
@ -3000,9 +3026,9 @@ UnaryOpNode::setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_mod
}
void
UnaryOpNode::fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info)
UnaryOpNode::fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg)
{
arg->fillPacExpectationVarInfo(var_model_info);
arg->fillPacExpectationVarInfo(var_model_name, rhs_arg, nonstationary_arg);
}
bool
@ -4444,6 +4470,12 @@ BinaryOpNode::substituteDiff(subst_table_t &subst_table, vector<BinaryOpNode *>
return buildSimilarBinaryOpNode(arg1subst, arg2subst, datatree);
}
bool
BinaryOpNode::isDiffPresent() const
{
return arg1->isDiffPresent() || arg2->isDiffPresent();
}
expr_t
BinaryOpNode::substitutePacExpectation(map<const PacExpectationNode *, const BinaryOpNode *> &subst_table)
{
@ -4530,10 +4562,10 @@ BinaryOpNode::setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_mo
}
void
BinaryOpNode::fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info)
BinaryOpNode::fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg)
{
arg1->fillPacExpectationVarInfo(var_model_info);
arg2->fillPacExpectationVarInfo(var_model_info);
arg1->fillPacExpectationVarInfo(var_model_name, rhs_arg, nonstationary_arg);
arg2->fillPacExpectationVarInfo(var_model_name, rhs_arg, nonstationary_arg);
}
bool
@ -5216,6 +5248,12 @@ TrinaryOpNode::substituteDiff(subst_table_t &subst_table, vector<BinaryOpNode *>
return buildSimilarTrinaryOpNode(arg1subst, arg2subst, arg3subst, datatree);
}
bool
TrinaryOpNode::isDiffPresent() const
{
return arg1->isDiffPresent() || arg2->isDiffPresent() || arg3->isDiffPresent();
}
expr_t
TrinaryOpNode::substitutePacExpectation(map<const PacExpectationNode *, const BinaryOpNode *> &subst_table)
{
@ -5300,11 +5338,11 @@ TrinaryOpNode::setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_m
}
void
TrinaryOpNode::fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info)
TrinaryOpNode::fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg)
{
arg1->fillPacExpectationVarInfo(var_model_info);
arg2->fillPacExpectationVarInfo(var_model_info);
arg3->fillPacExpectationVarInfo(var_model_info);
arg1->fillPacExpectationVarInfo(var_model_name, rhs_arg, nonstationary_arg);
arg2->fillPacExpectationVarInfo(var_model_name, rhs_arg, nonstationary_arg);
arg3->fillPacExpectationVarInfo(var_model_name, rhs_arg, nonstationary_arg);
}
bool
@ -5554,6 +5592,15 @@ AbstractExternalFunctionNode::substituteDiff(subst_table_t &subst_table, vector<
return buildSimilarExternalFunctionNode(arguments_subst, datatree);
}
bool
AbstractExternalFunctionNode::isDiffPresent() const
{
bool result = false;
for (vector<expr_t>::const_iterator it = arguments.begin(); it != arguments.end(); it++)
result = result || (*it)->isDiffPresent();
return result;
}
expr_t
AbstractExternalFunctionNode::substitutePacExpectation(map<const PacExpectationNode *, const BinaryOpNode *> &subst_table)
{
@ -5665,10 +5712,10 @@ AbstractExternalFunctionNode::setVarExpectationIndex(map<string, pair<SymbolList
}
void
AbstractExternalFunctionNode::fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info)
AbstractExternalFunctionNode::fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg)
{
for (vector<expr_t>::const_iterator it = arguments.begin(); it != arguments.end(); it++)
(*it)->fillPacExpectationVarInfo(var_model_info);
(*it)->fillPacExpectationVarInfo(var_model_name, rhs_arg, nonstationary_arg);
}
bool
@ -6969,6 +7016,12 @@ VarExpectationNode::eval(const eval_context_t &eval_context) const throw (EvalEx
return it->second;
}
bool
VarExpectationNode::isDiffPresent() const
{
return false;
}
void
VarExpectationNode::computeXrefs(EquationInfo &ei) const
{
@ -7130,7 +7183,7 @@ VarExpectationNode::setVarExpectationIndex(map<string, pair<SymbolList, int> > &
}
void
VarExpectationNode::fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info)
VarExpectationNode::fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg)
{
}
@ -7162,8 +7215,8 @@ PacExpectationNode::PacExpectationNode(DataTree &datatree_arg,
model_name(model_name_arg),
discount_symb_id(discount_symb_id_arg),
growth_symb_id(growth_symb_id_arg),
stationary_vars_present(true),
nonstationary_vars_present(true)
stationary_vars_present(false),
nonstationary_vars_present(false)
{
datatree.pac_expectation_node_map[make_pair(model_name, make_pair(discount_symb_id, growth_symb_id))] = this;
}
@ -7341,6 +7394,12 @@ PacExpectationNode::compile(ostream &CompileCode, unsigned int &instruction_numb
exit(EXIT_FAILURE);
}
bool
PacExpectationNode::isDiffPresent() const
{
return false;
}
pair<int, expr_t >
PacExpectationNode::normalizeEquation(int var_endo, vector<pair<int, pair<expr_t, expr_t> > > &List_of_Op_RHS) const
{
@ -7486,74 +7545,23 @@ PacExpectationNode::writeJsonOutput(ostream &output,
}
void
PacExpectationNode::fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info)
PacExpectationNode::fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg)
{
map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > >::const_iterator it = var_model_info.find(model_name);
if (it == var_model_info.end())
if (model_name != var_model_name)
return;
z_vec = rhs_arg;
for (vector<bool>::const_iterator it = nonstationary_arg.begin();
it != nonstationary_arg.end(); it++)
{
cerr << "ERROR: could not find the declaration of " << model_name
<< " referenced by pac_expectation operator" << endl;
exit(EXIT_FAILURE);
}
vector<set<pair<int, int> > > rhs;
vector<int> lhs, nonstationary_vars;
for (map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > >::const_iterator it1 = it->second.begin(); it1 != it->second.end(); it1++)
{
if (it1->second.first.second.size() != 1)
{
cerr << "ERROR " << model_name
<< ": you may only have one variable on the LHS of a VAR" << endl;
exit(EXIT_FAILURE);
}
set<pair<int, int> >::const_iterator setit = it1->second.first.second.begin();
if (setit->second != 0)
{
cerr << "ERROR " << model_name
<< ": the LHS variable of a VAR cannot appear with a lead or a lag" << endl;
exit(EXIT_FAILURE);
}
lhs.push_back(setit->first);
rhs.push_back(it1->second.second);
if (it1->second.first.first)
nonstationary_vars.push_back(lhs.back());
}
if (nonstationary_vars.size() == lhs.size())
stationary_vars_present = false;
if (nonstationary_vars.empty())
nonstationary_vars_present = false;
// Order RHS vars by time (already ordered by equation tag)
for (vector<set<pair<int, int> > >::const_iterator it = rhs.begin();
it != rhs.end(); it++)
for (set<pair<int, int> >::const_iterator it1 = it->begin();
it1 != it->end(); it1++)
if (find(lhs.begin(), lhs.end(), it1->first) == lhs.end())
{
cerr << "ERROR " << model_name << ": " << datatree.symbol_table.getName(it1->first)
<< " cannot appear in the VAR because it does not appear on the LHS" << endl;
exit(EXIT_FAILURE);
}
if (*it)
nonstationary_vars_present = true;
else
{
map<int, set<int> >::iterator mit = z_vec.find(abs(it1->second));
if (mit == z_vec.end())
{
if (it1->second > 0)
{
cerr << "ERROR " << model_name <<
": you cannot have a variable with a lead in a VAR" << endl;
exit(EXIT_FAILURE);
}
set<int> si;
si.insert(it1->first);
z_vec[abs(it1->second)] = si;
}
else
mit->second.insert(it1->first);
}
stationary_vars_present = true;
if (nonstationary_vars_present && stationary_vars_present)
break;
}
}
expr_t

29
ExprNode.hh
View File

@ -440,6 +440,9 @@ class ExprNode
//! Returns true if the expression contains one or several exogenous variable
virtual bool containsExogenous() const = 0;
//! Returns true if the expression contains a diff operator
virtual bool isDiffPresent(void) const = 0;
//! Return true if the nodeID is a variable withe a type equal to type_arg, a specific variable id aqual to varfiable_id and a lag equal to lag_arg and false otherwise
/*!
\param[in] the type (type_arg), specifique variable id (variable_id and the lag (lag_arg)
@ -487,7 +490,7 @@ class ExprNode
virtual bool isVarModelReferenced(const string &model_info_name) const = 0;
//! Fills var_model info for pac_expectation node
virtual void fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info) = 0;
virtual void fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg) = 0;
//! Fills map
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const = 0;
@ -549,6 +552,7 @@ public:
virtual bool isNumConstNodeEqualTo(double value) const;
virtual bool containsEndogenous(void) const;
virtual bool containsExogenous() const;
virtual bool isDiffPresent(void) const;
virtual bool isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_arg) const;
virtual expr_t replaceTrendVar() const;
virtual expr_t detrend(int symb_id, bool log_trend, expr_t trend) const;
@ -556,7 +560,7 @@ public:
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual void fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info);
virtual void fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
virtual expr_t substituteStaticAuxiliaryVariable() const;
@ -627,6 +631,7 @@ public:
virtual bool isNumConstNodeEqualTo(double value) const;
virtual bool containsEndogenous(void) const;
virtual bool containsExogenous() const;
virtual bool isDiffPresent(void) const;
virtual bool isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_arg) const;
virtual expr_t replaceTrendVar() const;
virtual expr_t detrend(int symb_id, bool log_trend, expr_t trend) const;
@ -634,7 +639,7 @@ public:
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual void fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info);
virtual void fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
//! Substitute auxiliary variables by their expression in static model
@ -728,6 +733,7 @@ public:
virtual bool isNumConstNodeEqualTo(double value) const;
virtual bool containsEndogenous(void) const;
virtual bool containsExogenous() const;
virtual bool isDiffPresent(void) const;
virtual bool isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_arg) const;
virtual expr_t replaceTrendVar() const;
virtual expr_t detrend(int symb_id, bool log_trend, expr_t trend) const;
@ -735,7 +741,7 @@ public:
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual void fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info);
virtual void fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
//! Substitute auxiliary variables by their expression in static model
@ -841,6 +847,7 @@ public:
virtual bool isNumConstNodeEqualTo(double value) const;
virtual bool containsEndogenous(void) const;
virtual bool containsExogenous() const;
virtual bool isDiffPresent(void) const;
virtual bool isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_arg) const;
virtual expr_t replaceTrendVar() const;
virtual expr_t detrend(int symb_id, bool log_trend, expr_t trend) const;
@ -854,7 +861,7 @@ public:
expr_t getNonZeroPartofEquation() const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual void fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info);
virtual void fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
//! Substitute auxiliary variables by their expression in static model
@ -934,6 +941,7 @@ public:
virtual bool isNumConstNodeEqualTo(double value) const;
virtual bool containsEndogenous(void) const;
virtual bool containsExogenous() const;
virtual bool isDiffPresent(void) const;
virtual bool isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_arg) const;
virtual expr_t replaceTrendVar() const;
virtual expr_t detrend(int symb_id, bool log_trend, expr_t trend) const;
@ -941,7 +949,7 @@ public:
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual void fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info);
virtual void fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
//! Substitute auxiliary variables by their expression in static model
@ -1028,6 +1036,7 @@ public:
virtual bool isNumConstNodeEqualTo(double value) const;
virtual bool containsEndogenous(void) const;
virtual bool containsExogenous() const;
virtual bool isDiffPresent(void) const;
virtual bool isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_arg) const;
virtual void writePrhs(ostream &output, ExprNodeOutputType output_type, const temporary_terms_t &temporary_terms, deriv_node_temp_terms_t &tef_terms, const string &ending) const;
virtual expr_t replaceTrendVar() const;
@ -1036,7 +1045,7 @@ public:
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual void fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info);
virtual void fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
//! Substitute auxiliary variables by their expression in static model
@ -1215,6 +1224,7 @@ public:
virtual void collectDynamicVariables(SymbolType type_arg, set<pair<int, int> > &result) const;
virtual bool containsEndogenous(void) const;
virtual bool containsExogenous() const;
virtual bool isDiffPresent(void) const;
virtual bool isNumConstNodeEqualTo(double value) const;
virtual expr_t differentiateForwardVars(const vector<string> &subset, subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const;
virtual expr_t decreaseLeadsLagsPredeterminedVariables() const;
@ -1224,7 +1234,7 @@ public:
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual void fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info);
virtual void fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
virtual expr_t substituteStaticAuxiliaryVariable() const;
@ -1284,6 +1294,7 @@ public:
virtual void collectDynamicVariables(SymbolType type_arg, set<pair<int, int> > &result) const;
virtual bool containsEndogenous(void) const;
virtual bool containsExogenous() const;
virtual bool isDiffPresent(void) const;
virtual bool isNumConstNodeEqualTo(double value) const;
virtual expr_t differentiateForwardVars(const vector<string> &subset, subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const;
virtual expr_t decreaseLeadsLagsPredeterminedVariables() const;
@ -1293,7 +1304,7 @@ public:
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual void fillPacExpectationVarInfo(map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > &var_model_info);
virtual void fillPacExpectationVarInfo(string &var_model_name, map<int, set<int > > &rhs_arg, vector<bool> &nonstationary_arg);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
virtual expr_t substituteStaticAuxiliaryVariable() const;

44
ModFile.cc
View File

@ -361,37 +361,47 @@ ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs, const
}
}
// Create auxiliary variable and equations for Diff operator
dynamic_model.substituteDiff();
// Var Model
map<string, pair<map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > >, pair<SymbolList, int> > > var_model_info;
map<string, pair<SymbolList, int> > var_model_info_var_expectation;
for (vector<Statement *>::const_iterator it = statements.begin();
it != statements.end(); it++)
{
VarModelStatement *vms = dynamic_cast<VarModelStatement *>(*it);
if (vms != NULL)
vms->getVarModelNameAndVarList(var_model_info);
{
vms->getVarModelInfoForVarExpectation(var_model_info_var_expectation);
vector<string> var_model_eqtags;
vms->getVarModelEqTags(var_model_eqtags);
if (!var_model_eqtags.empty())
{
vector<int> eqnumber, lhs, orig_diff_var;
vector<set<pair<int, int> > > rhs;
vector<bool> nonstationary, diff;
dynamic_model.getVarModelVariablesFromEqTags(var_model_eqtags,
eqnumber, lhs, rhs, nonstationary);
original_model.getDiffInfo(eqnumber, diff, orig_diff_var);
vms->fillVarModelInfoFromEquations(eqnumber, lhs, rhs, nonstationary, diff, orig_diff_var);
string var_model_name;
map<int, set<int > > rhs_pac;
vms->getVarModelName(var_model_name);
vms->getVarModelRHS(rhs_pac);
dynamic_model.fillPacExpectationVarInfo(var_model_name, rhs_pac, nonstationary);
dynamic_model.substitutePacExpectation();
}
}
}
if (!var_model_info.empty())
if (!var_model_info_var_expectation.empty())
{
map<string, pair<SymbolList, int> > var_model_info_var_expectation;
map<string, map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > > > var_model_info_pac;
for (map<string, pair<map<pair<string, int>, pair<pair<int, set<pair<int, int> > >, set<pair<int, int> > > >, pair<SymbolList, int> > >::const_iterator it = var_model_info.begin(); it != var_model_info.end(); it++)
{
var_model_info_pac[it->first] = it->second.first;
var_model_info_var_expectation[it->first] = it->second.second;
}
dynamic_model.setVarExpectationIndices(var_model_info_var_expectation);
dynamic_model.addEquationsForVar(var_model_info_var_expectation);
dynamic_model.getVarModelVariablesFromEqTags(var_model_info_pac);
dynamic_model.fillPacExpectationVarInfo(var_model_info_pac);
dynamic_model.substitutePacExpectation();
}
dynamic_model.fillVarExpectationFunctionsToWrite();
// Create auxiliary variable and equations for Diff operator
dynamic_model.substituteDiff();
if (symbol_table.predeterminedNbr() > 0)
dynamic_model.transformPredeterminedVariables();

2
ParsingDriver.cc
View File

@ -1517,7 +1517,7 @@ ParsingDriver::var_model()
if (options_list.num_options.find("var.order") == options_list.num_options.end())
error("You must pass the order option when passing a symbol list to the var_model statement");
mod_file->addStatement(new VarModelStatement(symbol_list, options_list, *name));
mod_file->addStatement(new VarModelStatement(symbol_list, options_list, *name, mod_file->symbol_table));
var_map[it->second] = symbol_list.getSymbols();
symbol_list.clear();
options_list.clear();