PAC: in the backward case, unify h0 and h1 parameters vector into a single vector

There is no reason to keep this distinction.

Additionally, since the data structure is now symmetric with the MCE case,
unify this “h” parameter vector with the “α” parameter vector.

src/DynamicModel.cc

@@ -3789,7 +3789,7 @@ DynamicModel::computePacModelConsistentExpectationSubstitution(const string &nam
                                                                expr_t growth_correction_term,
                                                                ExprNode::subst_table_t &diff_subst_table,
                                                                map<string, int> &pac_aux_var_symb_ids,
-                                                               map<string, vector<int>> &pac_mce_alpha_symb_ids,
+                                                               map<string, vector<int>> &pac_aux_param_symb_ids,
                                                                map<string, expr_t> &pac_expectation_substitution)
 {
   int pac_target_symb_id;
@@ -3827,7 +3827,7 @@ DynamicModel::computePacModelConsistentExpectationSubstitution(const string &nam
       try
         {
           int alpha_i_symb_id = symbol_table.addSymbol(param_name, SymbolType::parameter);
-          pac_mce_alpha_symb_ids[name].push_back(alpha_i_symb_id);
+          pac_aux_param_symb_ids[name].push_back(alpha_i_symb_id);
           A = AddPlus(A, AddVariable(alpha_i_symb_id));
           fp = AddPlus(fp,
                        AddTimes(AddTimes(AddVariable(alpha_i_symb_id),
@@ -3928,16 +3928,11 @@ DynamicModel::computePacBackwardExpectationSubstitution(const string &name,
                                                         const vector<int> &lhs,
                                                         int max_lag,
                                                         const string &aux_model_type,
-                                                        const vector<bool> &nonstationary,
                                                         expr_t growth_correction_term,
                                                         map<string, int> &pac_aux_var_symb_ids,
-                                                        map<string, vector<int>> &pac_h0_indices,
+                                                        map<string, vector<int>> &pac_aux_param_symb_ids,
-                                                        map<string, vector<int>> &pac_h1_indices,
                                                         map<string, expr_t> &pac_expectation_substitution)
 {
-  bool stationary_vars_present = any_of(nonstationary.begin(), nonstationary.end(), logical_not<bool>());
-  bool nonstationary_vars_present = any_of(nonstationary.begin(), nonstationary.end(), [](bool b) { return b; }); // FIXME: use std::identity instead of an anonymous function when we upgrade to C++20
-
   auto create_aux_param = [&](const string &param_name)
   {
     try
@@ -3952,51 +3947,25 @@ DynamicModel::computePacBackwardExpectationSubstitution(const string &name,
   };
 
   expr_t subExpr = Zero;
-  if (stationary_vars_present)
+  if (aux_model_type == "var")
     {
-      if (aux_model_type == "var")
+      /* If the auxiliary model is a VAR, add a parameter corresponding
-        {
+         to the constant. */
-          /* If the auxiliary model is a VAR, add a parameter corresponding
+      int new_param_symb_id = create_aux_param("h_" + name + "_constant");
-             to the constant. */
+      pac_aux_param_symb_ids[name].push_back(new_param_symb_id);
-          int new_param_symb_id = create_aux_param("h0_" + name + "_constant");
+      subExpr = AddPlus(subExpr, AddVariable(new_param_symb_id));
-          pac_h0_indices[name].push_back(new_param_symb_id);
-          subExpr = AddPlus(subExpr, AddVariable(new_param_symb_id));
-        }
-      for (int i = 1; i < max_lag + 1; i++)
-        for (auto lhsit : lhs)
-          {
-            int new_param_symb_id = create_aux_param("h0_" + name + "_var_"
-                                                     + symbol_table.getName(lhsit)
-                                                     + "_lag_" + to_string(i));
-            pac_h0_indices[name].push_back(new_param_symb_id);
-            subExpr = AddPlus(subExpr,
-                              AddTimes(AddVariable(new_param_symb_id),
-                                       AddVariable(lhsit, -i)));
-          }
-    }
-
-  if (nonstationary_vars_present)
-    {
-      if (aux_model_type == "var")
-        {
-          /* If the auxiliary model is a VAR, add a parameter corresponding
-             to the constant. */
-          int new_param_symb_id = create_aux_param("h1_" + name + "_constant");
-          pac_h1_indices[name].push_back(new_param_symb_id);
-          subExpr = AddPlus(subExpr, AddVariable(new_param_symb_id));
-        }
-      for (int i = 1; i < max_lag + 1; i++)
-        for (auto lhsit : lhs)
-          {
-            int new_param_symb_id = create_aux_param("h1_" + name + "_var_"
-                                                     + symbol_table.getName(lhsit)
-                                                     + "_lag_" + to_string(i));
-            pac_h1_indices[name].push_back(new_param_symb_id);
-            subExpr = AddPlus(subExpr,
-                              AddTimes(AddVariable(new_param_symb_id),
-                                       AddVariable(lhsit, -i)));
-          }
     }
+  for (int i = 1; i < max_lag + 1; i++)
+    for (auto lhsit : lhs)
+      {
+        int new_param_symb_id = create_aux_param("h_" + name + "_var_"
+                                                 + symbol_table.getName(lhsit)
+                                                 + "_lag_" + to_string(i));
+        pac_aux_param_symb_ids[name].push_back(new_param_symb_id);
+        subExpr = AddPlus(subExpr,
+                          AddTimes(AddVariable(new_param_symb_id),
+                                   AddVariable(lhsit, -i)));
+      }
 
   int expect_var_id;
   string expect_var_name = "pac_expectation_" + name;

src/DynamicModel.hh

@@ -539,7 +539,7 @@ public:
                                                         expr_t growth_correction_term,
                                                         ExprNode::subst_table_t &diff_subst_table,
                                                         map<string, int> &pac_aux_var_symb_ids,
-                                                        map<string, vector<int>> &pac_mce_alpha_symb_ids,
+                                                        map<string, vector<int>> &pac_aux_param_symb_ids,
                                                         map<string, expr_t> &pac_expectation_substitution);
 
 
@@ -550,11 +550,9 @@ public:
                                                  const vector<int> &lhs,
                                                  int max_lag,
                                                  const string &aux_model_type,
-                                                 const vector<bool> &nonstationary,
                                                  expr_t growth_correction_term,
                                                  map<string, int> &pac_aux_var_symb_ids,
-                                                 map<string, vector<int>> &pac_h0_indices,
+                                                 map<string, vector<int>> &pac_aux_param_symb_ids,
-                                                 map<string, vector<int>> &pac_h1_indices,
                                                  map<string, expr_t> &pac_expectation_substitution);
 
   //! Substitutes pac_expectation operator with expectation based on auxiliary model

src/SubModel.cc

@@ -842,22 +842,17 @@ PacModelTable::transformPass(ExprNode::subst_table_t &diff_subst_table,
 
       // Collect some information about PAC models
       int max_lag;
-      vector<bool> nonstationary;
       if (trend_component_model_table.isExistingTrendComponentModelName(aux_model_name[name]))
         {
           aux_model_type[name] = "trend_component";
           max_lag = trend_component_model_table.getMaxLag(aux_model_name[name]) + 1;
           lhs[name] = dynamic_model.getUndiffLHSForPac(aux_model_name[name], diff_subst_table);
-          // All lhs variables in a trend component model are nonstationary
-          nonstationary.insert(nonstationary.end(), trend_component_model_table.getDiff(aux_model_name[name]).size(), true);
         }
       else if (var_model_table.isExistingVarModelName(aux_model_name[name]))
         {
           aux_model_type[name] = "var";
           max_lag = var_model_table.getMaxLag(aux_model_name[name]);
           lhs[name] = var_model_table.getLhs(aux_model_name[name]);
-          // nonstationary variables in a VAR are those that are in diff
-          nonstationary = var_model_table.getDiff(aux_model_name[name]);
         }
       else if (aux_model_name[name].empty())
         max_lag = 0;
@@ -895,15 +890,14 @@ PacModelTable::transformPass(ExprNode::subst_table_t &diff_subst_table,
                                                                        growth_correction_term,
                                                                        diff_subst_table,
                                                                        aux_var_symb_ids,
-                                                                       mce_alpha_symb_ids,
+                                                                       aux_param_symb_ids,
                                                                        pac_expectation_substitution);
       else
         dynamic_model.computePacBackwardExpectationSubstitution(name, lhs[name], max_lag,
                                                                 aux_model_type[name],
-                                                                nonstationary,
                                                                 growth_correction_term,
                                                                 aux_var_symb_ids,
-                                                                h0_indices, h1_indices,
+                                                                aux_param_symb_ids,
                                                                 pac_expectation_substitution);
     }
 
@@ -975,10 +969,10 @@ PacModelTable::writeOutput(const string &basename, ostream &output) const
         }
     }
 
-  // Write PAC Model Consistent Expectation parameter info
+  // Write the auxiliary parameter IDs created for the pac_expectation operator
-  for (auto &[name, ids] : mce_alpha_symb_ids)
+  for (auto &[name, ids] : aux_param_symb_ids)
     {
-      output << "M_.pac." << name << ".mce.alpha = [";
+      output << "M_.pac." << name << "." << (aux_model_name.at(name).empty() ? "mce.alpha" : "h_param_indices") << " = [";
       for (auto id : ids)
         output << symbol_table.getTypeSpecificID(id) + 1 << " ";
       output << "];" << endl;
@@ -1171,25 +1165,6 @@ PacModelTable::writeOutput(const string &basename, ostream &output) const
             output << get<3>(it) << " ";
           output << "];" << endl;
         }
-      // Create empty h0 and h1 substructures that will be overwritten later if not empty
-      output << "M_.pac." << name << ".h0_param_indices = [];" << endl
-             << "M_.pac." << name << ".h1_param_indices = [];" << endl;
-    }
-
-  for (auto &[name, symb_ids] : h0_indices)
-    {
-      output << "M_.pac." << name << ".h0_param_indices = [";
-      for (auto it : symb_ids)
-        output << symbol_table.getTypeSpecificID(it) + 1 << " ";
-      output << "];" << endl;
-    }
-
-  for (auto &[name, symb_ids] : h1_indices)
-    {
-      output << "M_.pac." << name << ".h1_param_indices = [";
-      for (auto it : symb_ids)
-        output << symbol_table.getTypeSpecificID(it) + 1 << " ";
-      output << "];" << endl;
     }
 }
 

src/SubModel.hh

@@ -213,12 +213,13 @@ private:
      correction term)
      pac_model_name → symb_id */
   map<string, int> aux_var_symb_ids;
-  /* Stores symb_ids for alphas created by DynamicModel::addPacModelConsistentExpectationEquation()
+  /* Stores symb_ids for auxiliary parameters created for the expression
-     pac_model_name → mce_alpha_symb_ids */
+     substituted to the pac_expectation operator (excluding the growth
-  map<string, vector<int>> mce_alpha_symb_ids;
+     neutrality correction):
-  /* Stores symb_ids for h0, h1 parameters
+     - in the backward case, contains the “h” parameters
-     pac_model_name → parameter symb_ids */
+     - in the MCE case, contains the “α” parameters
-  map<string, vector<int>> h0_indices, h1_indices;
+     pac_model_name → symb_ids */
+  map<string, vector<int>> aux_param_symb_ids;
   /* Stores indices for growth neutrality parameters
      pac_model_name → growth_neutrality_param_index */
   map<string, int> growth_neutrality_params;