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Add heteroskedastic_filter option and heteroskedastic_shocks block 

Ref. dynare!1844, dynare!1851
issue#70
Sébastien Villemot 2021-05-26 18:00:06 +02:00
parent e552bfc4b3
commit b12b254f2c
No known key found for this signature in database
GPG Key ID: 2CECE9350ECEBE4A
6 changed files with 171 additions and 4 deletions
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26
src/DynareBison.yy
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@ -114,14 +114,14 @@ class ParsingDriver;
%token <string> QUOTED_STRING
%token QZ_CRITERIUM QZ_ZERO_THRESHOLD DSGE_VAR DSGE_VARLAG DSGE_PRIOR_WEIGHT TRUNCATE PIPE_E PIPE_X PIPE_P
%token RELATIVE_IRF REPLIC SIMUL_REPLIC RPLOT SAVE_PARAMS_AND_STEADY_STATE PARAMETER_UNCERTAINTY TARGETS
%token SHOCKS SHOCK_DECOMPOSITION SHOCK_GROUPS USE_SHOCK_GROUPS SIGMA_E SIMUL SIMUL_ALGO SIMUL_SEED ENDOGENOUS_TERMINAL_PERIOD
%token SHOCKS HETEROSKEDASTIC_SHOCKS SHOCK_DECOMPOSITION SHOCK_GROUPS USE_SHOCK_GROUPS SIGMA_E SIMUL SIMUL_ALGO SIMUL_SEED ENDOGENOUS_TERMINAL_PERIOD
%token SMOOTHER SMOOTHER2HISTVAL SQUARE_ROOT_SOLVER STACK_SOLVE_ALGO STEADY_STATE_MODEL SOLVE_ALGO SOLVER_PERIODS ROBUST_LIN_SOLVE
%token STDERR STEADY STOCH_SIMUL SYLVESTER SYLVESTER_FIXED_POINT_TOL REGIMES REGIME REALTIME_SHOCK_DECOMPOSITION CONDITIONAL UNCONDITIONAL
%token TEX RAMSEY_MODEL RAMSEY_POLICY RAMSEY_CONSTRAINTS PLANNER_DISCOUNT PLANNER_DISCOUNT_LATEX_NAME
%token DISCRETIONARY_POLICY DISCRETIONARY_TOL EVALUATE_PLANNER_OBJECTIVE
%token <string> TEX_NAME TRUE
%token UNIFORM_PDF UNIT_ROOT_VARS USE_DLL USEAUTOCORR GSA_SAMPLE_FILE USE_UNIVARIATE_FILTERS_IF_SINGULARITY_IS_DETECTED
%token VALUES VAR VAREXO VAREXO_DET VARIABLE VAROBS VAREXOBS PREDETERMINED_VARIABLES VAR_EXPECTATION VAR_EXPECTATION_MODEL PLOT_SHOCK_DECOMPOSITION MODEL_LOCAL_VARIABLE
%token VALUES SCALES VAR VAREXO VAREXO_DET VARIABLE VAROBS VAREXOBS PREDETERMINED_VARIABLES VAR_EXPECTATION VAR_EXPECTATION_MODEL PLOT_SHOCK_DECOMPOSITION MODEL_LOCAL_VARIABLE
%token WRITE_LATEX_DYNAMIC_MODEL WRITE_LATEX_STATIC_MODEL WRITE_LATEX_ORIGINAL_MODEL WRITE_LATEX_STEADY_STATE_MODEL
%token XLS_SHEET XLS_RANGE LMMCP BANDPASS_FILTER COLORMAP VAR_MODEL PAC_MODEL QOQ YOY AOA PAC_EXPECTATION TREND_COMPONENT_MODEL
%left EQUAL_EQUAL EXCLAMATION_EQUAL
@ -166,6 +166,7 @@ class ParsingDriver;
%token PARAMETER_CONVERGENCE_CRITERION NUMBER_OF_LARGE_PERTURBATIONS NUMBER_OF_SMALL_PERTURBATIONS
%token NUMBER_OF_POSTERIOR_DRAWS_AFTER_PERTURBATION MAX_NUMBER_OF_STAGES
%token RANDOM_FUNCTION_CONVERGENCE_CRITERION RANDOM_PARAMETER_CONVERGENCE_CRITERION NO_INIT_ESTIMATION_CHECK_FIRST_OBS
%token HETEROSKEDASTIC_FILTER
/* Method of Moments */
%token METHOD_OF_MOMENTS MOM_METHOD
%token BARTLETT_KERNEL_LAG WEIGHTING_MATRIX WEIGHTING_MATRIX_SCALING_FACTOR ANALYTIC_STANDARD_ERRORS ANALYTIC_JACOBIAN PENALIZED_ESTIMATOR VERBOSE
@ -225,6 +226,7 @@ statement : parameters
| init_param
| shocks
| mshocks
| heteroskedastic_shocks
| sigma_e
| steady
| check
@ -1042,6 +1044,24 @@ det_shock_elem : VAR symbol ';' PERIODS period_list ';' VALUES value_list ';'
{ driver.add_det_shock($2, $5, $8, false); }
;
heteroskedastic_shocks : HETEROSKEDASTIC_SHOCKS ';' heteroskedastic_shock_list END ';'
{ driver.end_heteroskedastic_shocks(false); }
| HETEROSKEDASTIC_SHOCKS '(' OVERWRITE ')' ';' heteroskedastic_shock_list END ';'
{ driver.end_heteroskedastic_shocks(true); }
| HETEROSKEDASTIC_SHOCKS '(' OVERWRITE ')' ';' END ';'
{ driver.end_heteroskedastic_shocks(true); }
;
heteroskedastic_shock_list : heteroskedastic_shock_list heteroskedastic_shock_elem
| heteroskedastic_shock_elem
;
heteroskedastic_shock_elem : VAR symbol ';' PERIODS period_list ';' VALUES value_list ';'
{ driver.add_heteroskedastic_shock($2, $5, $8, false); }
| VAR symbol ';' PERIODS period_list ';' SCALES value_list ';'
{ driver.add_heteroskedastic_shock($2, $5, $8, true); }
;
svar_identification : SVAR_IDENTIFICATION {driver.begin_svar_identification();} ';' svar_identification_list END ';'
{ driver.end_svar_identification(); }
;
@ -2071,6 +2091,7 @@ estimation_options : o_datafile
| o_occbin_likelihood
| o_occbin_smoother
| o_no_init_estimation_check_first_obs
| o_heteroskedastic_filter
;
name_value_pair : QUOTED_STRING COMMA QUOTED_STRING
@ -3778,6 +3799,7 @@ o_use_shock_groups : USE_SHOCK_GROUPS { driver.option_str("plot_shock_decomp.use
o_colormap : COLORMAP EQUAL symbol { driver.option_num("plot_shock_decomp.colormap",$3); };
o_icd_colormap : COLORMAP EQUAL symbol { driver.option_num("initial_condition_decomp.colormap",$3); };
o_no_init_estimation_check_first_obs : NO_INIT_ESTIMATION_CHECK_FIRST_OBS { driver.option_num("no_init_estimation_check_first_obs", "true"); };
o_heteroskedastic_filter : HETEROSKEDASTIC_FILTER { driver.option_num("heteroskedastic_filter", "true"); };
// Some options to "method_of_moments"
o_bartlett_kernel_lag : BARTLETT_KERNEL_LAG EQUAL INT_NUMBER { driver.option_num("mom.bartlett_kernel_lag", $3); };

3
src/DynareFlex.ll
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@ -202,6 +202,7 @@ DATE -?[0-9]+([ya]|m([1-9]|1[0-2])|q[1-4])
<INITIAL>histval {BEGIN DYNARE_BLOCK; return token::HISTVAL;}
<INITIAL>filter_initial_state {BEGIN DYNARE_BLOCK; return token::FILTER_INITIAL_STATE;}
<INITIAL>shocks {BEGIN DYNARE_BLOCK; return token::SHOCKS;}
<INITIAL>heteroskedastic_shocks {BEGIN DYNARE_BLOCK; return token::HETEROSKEDASTIC_SHOCKS;}
<INITIAL>shock_groups {BEGIN DYNARE_BLOCK; return token::SHOCK_GROUPS;}
<INITIAL>init2shocks {BEGIN DYNARE_BLOCK; return token::INIT2SHOCKS;}
<INITIAL>mshocks {BEGIN DYNARE_BLOCK; return token::MSHOCKS;}
@ -714,6 +715,7 @@ DATE -?[0-9]+([ya]|m([1-9]|1[0-2])|q[1-4])
<DYNARE_STATEMENT>zero_moments_tolerance {return token::ZERO_MOMENTS_TOLERANCE;}
<DYNARE_STATEMENT>max_nrows {return token::MAX_NROWS;}
<DYNARE_STATEMENT>with_epilogue {return token::WITH_EPILOGUE;}
<DYNARE_STATEMENT>heteroskedastic_filter {return token::HETEROSKEDASTIC_FILTER;}
<DYNARE_STATEMENT>\$[^$]*\$ {
strtok(yytext+1, "$");
@ -727,6 +729,7 @@ DATE -?[0-9]+([ya]|m([1-9]|1[0-2])|q[1-4])
<DYNARE_BLOCK>values {return token::VALUES;}
<DYNARE_BLOCK>corr {return token::CORR;}
<DYNARE_BLOCK>periods {return token::PERIODS;}
<DYNARE_BLOCK>scales {return token::SCALES;}
<DYNARE_BLOCK>cutoff {return token::CUTOFF;}
<DYNARE_BLOCK>mfs {return token::MFS;}
<DYNARE_BLOCK>balanced_growth_test_tol {return token::BALANCED_GROWTH_TEST_TOL;}

33
src/ParsingDriver.cc
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@ -809,6 +809,15 @@ ParsingDriver::end_mshocks(bool overwrite)
det_shocks.clear();
}
void
ParsingDriver::end_heteroskedastic_shocks(bool overwrite)
{
mod_file->addStatement(make_unique<HeteroskedasticShocksStatement>(overwrite, heteroskedastic_shocks_values,
heteroskedastic_shocks_scales, mod_file->symbol_table));
heteroskedastic_shocks_values.clear();
heteroskedastic_shocks_scales.clear();
}
void
ParsingDriver::add_det_shock(const string &var, const vector<pair<int, int>> &periods, const vector<expr_t> &values, bool conditional_forecast)
{
@ -839,6 +848,30 @@ ParsingDriver::add_det_shock(const string &var, const vector<pair<int, int>> &pe
det_shocks[symb_id] = v;
}
void
ParsingDriver::add_heteroskedastic_shock(const string &var, const vector<pair<int, int>> &periods, const vector<expr_t> &values, bool scales)
{
check_symbol_is_exogenous(var);
int symb_id = mod_file->symbol_table.getID(var);
if ((!scales && heteroskedastic_shocks_values.find(symb_id) != heteroskedastic_shocks_values.end())
|| (scales && heteroskedastic_shocks_scales.find(symb_id) != heteroskedastic_shocks_scales.end()))
error("heteroskedastic_shocks: variable " + var + " declared twice");
if (periods.size() != values.size())
error("heteroskedastic_shocks: variable " + var + ": number of periods is different from number of shock values");
vector<tuple<int, int, expr_t>> v;
for (size_t i = 0; i < periods.size(); i++)
v.push_back({ periods[i].first, periods[i].second, values[i] });
if (scales)
heteroskedastic_shocks_scales[symb_id] = v;
else
heteroskedastic_shocks_values[symb_id] = v;
}
void
ParsingDriver::add_stderr_shock(const string &var, expr_t value)
{

6
src/ParsingDriver.hh
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@ -159,6 +159,8 @@ private:
ShocksStatement::covar_and_corr_shocks_t covar_shocks;
//! Temporary storage for correlations of shocks
ShocksStatement::covar_and_corr_shocks_t corr_shocks;
//! Temporary storage for values and scales of heteroskedastic_shocks
HeteroskedasticShocksStatement::heteroskedastic_shocks_t heteroskedastic_shocks_values, heteroskedastic_shocks_scales;
//! Temporary storage for Sigma_e rows
SigmaeStatement::row_t sigmae_row;
//! Temporary storage for Sigma_e matrix
@ -434,8 +436,12 @@ public:
void end_shocks(bool overwrite);
//! Writes a mshocks statement
void end_mshocks(bool overwrite);
//! Writes a heteroskedastic_shocks statement
void end_heteroskedastic_shocks(bool overwrite);
//! Adds a deterministic shock or a path element inside a conditional_forecast_paths block
void add_det_shock(const string &var, const vector<pair<int, int>> &periods, const vector<expr_t> &values, bool conditional_forecast);
//! Adds a heteroskedastic shock (either values or scales)
void add_heteroskedastic_shock(const string &var, const vector<pair<int, int>> &periods, const vector<expr_t> &values, bool scales);
//! Adds a std error shock
void add_stderr_shock(const string &var, expr_t value);
//! Adds a variance shock

88
src/Shocks.cc
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@ -1,5 +1,5 @@
/*
* Copyright © 2003-2020 Dynare Team
* Copyright © 2003-2021 Dynare Team
*
* This file is part of Dynare.
*
@ -721,3 +721,89 @@ Init2shocksStatement::writeJsonOutput(ostream &output) const
}
output << "]}";
}
HeteroskedasticShocksStatement::HeteroskedasticShocksStatement(bool overwrite_arg,
const heteroskedastic_shocks_t &values_arg,
const heteroskedastic_shocks_t &scales_arg,
const SymbolTable &symbol_table_arg)
: overwrite{overwrite_arg}, values{values_arg}, scales{scales_arg}, symbol_table{symbol_table_arg}
{
}
void
HeteroskedasticShocksStatement::writeOutput(ostream &output, const string &basename, bool minimal_workspace) const
{
if (overwrite)
output << "M_.heteroskedastic_shocks.Qhet = [];" << endl;
for (const auto &[var, vec] : values)
{
string varname = symbol_table.getName(var);
for (const auto &[period1, period2, value] : vec)
{
output << "M_.heteroskedastic_shocks.Qhet." << varname << ".time_value = " << period1 << ":" << period2 << ";" << endl
<< "M_.heteroskedastic_shocks.Qhet." << varname << ".value = ";
value->writeOutput(output);
output << ";" << endl;
}
}
for (const auto &[var, vec] : scales)
{
string varname = symbol_table.getName(var);
for (const auto &[period1, period2, scale] : vec)
{
output << "M_.heteroskedastic_shocks.Qhet." << varname << ".time_scale = " << period1 << ":" << period2 << ";" << endl
<< "M_.heteroskedastic_shocks.Qhet." << varname << ".scale = ";
scale->writeOutput(output);
output << ";" << endl;
}
}
}
void
HeteroskedasticShocksStatement::writeJsonOutput(ostream &output) const
{
output << R"({"statementName": "heteroskedastic_shocks")"
<< R"(, "overwrite": )" << (overwrite ? "true" : "false")
<< R"(, "shocks_values": [)";
for (auto it = values.begin(); it != values.end(); ++it)
{
if (it != values.begin())
output << ", ";
output << R"({"var": ")" << symbol_table.getName(it->first) << R"(", )"
<< R"("values": [)";
for (auto it1 = it->second.begin(); it1 != it->second.end(); ++it1)
{
if (it1 != it->second.begin())
output << ", ";
auto [period1, period2, value] = *it1;
output << R"({"period1": )" << period1 << ", "
<< R"("period2": )" << period2 << ", "
<< R"("value": ")";
value->writeJsonOutput(output, {}, {});
output << R"("})";
}
output << "]}";
}
output << R"(], "shocks_scales": [)";
for (auto it = scales.begin(); it != scales.end(); ++it)
{
if (it != scales.begin())
output << ", ";
output << R"({"var": ")" << symbol_table.getName(it->first) << R"(", )"
<< R"("scales": [)";
for (auto it1 = it->second.begin(); it1 != it->second.end(); ++it1)
{
if (it1 != it->second.begin())
output << ", ";
auto [period1, period2, value] = *it1;
output << R"({"period1": )" << period1 << ", "
<< R"("period2": )" << period2 << ", "
<< R"("value": ")";
value->writeJsonOutput(output, {}, {});
output << R"("})";
}
output << "]}";
}
output << "]}";
}

19
src/Shocks.hh
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@ -1,5 +1,5 @@
/*
* Copyright © 2003-2020 Dynare Team
* Copyright © 2003-2021 Dynare Team
*
* This file is part of Dynare.
*
@ -181,4 +181,21 @@ public:
void writeJsonOutput(ostream &output) const override;
};
class HeteroskedasticShocksStatement : public Statement
{
public:
// Maps exo symb_id to list of tuples (period1, period2, value/scale)
using heteroskedastic_shocks_t = map<int, vector<tuple<int, int, expr_t>>>;
private:
const bool overwrite;
const heteroskedastic_shocks_t values, scales;
const SymbolTable &symbol_table;
public:
HeteroskedasticShocksStatement(bool overwrite_arg, const heteroskedastic_shocks_t &values_arg,
const heteroskedastic_shocks_t &scales_arg,
const SymbolTable &symbol_table_arg);
void writeOutput(ostream &output, const string &basename, bool minimal_workspace) const override;
void writeJsonOutput(ostream &output) const override;
};
#endif