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adding "exclusion constants" to svar identification

issue#70
Michel Juillard 2011-07-29 18:11:50 +02:00
parent c6a33a96f1
commit dcf5273b26
6 changed files with 45 additions and 19 deletions
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16
ComputingTasks.cc
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@ -1149,10 +1149,12 @@ PlotConditionalForecastStatement::writeOutput(ostream &output, const string &bas
SvarIdentificationStatement::SvarIdentificationStatement(const svar_identification_exclusion_t &exclusion_arg,
const bool &upper_cholesky_present_arg,
const bool &lower_cholesky_present_arg,
const bool &constants_exclusion_present_arg,
const SymbolTable &symbol_table_arg) :
exclusion(exclusion_arg),
upper_cholesky_present(upper_cholesky_present_arg),
lower_cholesky_present(lower_cholesky_present_arg),
constants_exclusion_present(constants_exclusion_present_arg),
symbol_table(symbol_table_arg)
{
}
@ -1199,10 +1201,12 @@ SvarIdentificationStatement::writeOutput(ostream &output, const string &basename
if (lower_cholesky_present)
output << "options_.ms.lower_cholesky=1;" << endl;
if (constants_exclusion_present)
output << "options_.ms.constants_exclusion=1;" << endl;
if (!upper_cholesky_present && !lower_cholesky_present)
{
int n = symbol_table.endo_nbr();
// int m = symbol_table.exo_nbr();
int m = 1; // this is the constant, not the shocks
int r = getMaxLag();
int k = r*n+m;
@ -1226,7 +1230,7 @@ SvarIdentificationStatement::writeOutput(ostream &output, const string &basename
output << "options_.ms.Ri = zeros(" << k << ", " << k << ", " << n << ");" << endl;
vector<int> rows(n);
for(vector<int>::iterator it=rows.begin(); it != rows.end(); it++) *it = 1;
fill(rows.begin(),rows.end(),1);
for (svar_identification_exclusion_t::const_iterator it = exclusion.begin(); it != exclusion.end(); it++)
{
@ -1265,6 +1269,14 @@ SvarIdentificationStatement::writeOutput(ostream &output, const string &basename
}
}
}
if (constants_exclusion_present)
{
for (unsigned int h = 0; h < n; h++)
{
output << "options_.ms.Ri(" << rows[h] << ", " << m << ", " << h+1 << ") = 1;" << endl;
rows[h]++;
}
}
}
}

2
ComputingTasks.hh
View File

@ -517,12 +517,14 @@ private:
const svar_identification_exclusion_t exclusion;
const bool upper_cholesky_present;
const bool lower_cholesky_present;
const bool constants_exclusion_present;
const SymbolTable &symbol_table;
int getMaxLag() const;
public:
SvarIdentificationStatement(const svar_identification_exclusion_t &exclusion_arg,
const bool &upper_cholesky_present_arg,
const bool &lower_cholesky_present_arg,
const bool &constants_exclusion_present_arg,
const SymbolTable &symbol_table_arg);
virtual void checkPass(ModFileStructure &mod_file_struct);
virtual void writeOutput(ostream &output, const string &basename) const;

23
DynareBison.yy
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@ -144,8 +144,8 @@ class ParsingDriver;
/* end of GSA analysis*/
%token FREQ INITIAL_YEAR INITIAL_SUBPERIOD FINAL_YEAR FINAL_SUBPERIOD DATA VLIST VARLIST LOG_VAR PERCENT_VAR
%token VLISTLOG VLISTPER
%token RESTRICTION_FNAME NLAGS CROSS_RESTRICTIONS CONTEMP_REDUCED_FORM REAL_PSEUDO_FORECAST BAYESIAN_PRIOR
%token DUMMY_OBS NSTATES INDXSCALESSTATES
%token RESTRICTIONS RESTRICTION_FNAME CROSS_RESTRICTIONS NLAGS CONTEMP_REDUCED_FORM REAL_PSEUDO_FORECAST
%token DUMMY_OBS NSTATES INDXSCALESSTATES BAYESIAN_PRIOR
%token <string_val> ALPHA BETA ABAND NINV CMS NCMS CNUM
%token GSIG2_LMD GSIG2_LMDM Q_DIAG FLAT_PRIOR NCSK NSTD
%token INDXPARR INDXOVR INDXAP APBAND INDXIMF IMFBAND INDXFORE FOREBAND INDXGFOREHAT INDXGIMFHAT
@ -154,7 +154,7 @@ class ParsingDriver;
%token OUTPUT_FILE_TAG DRAWS_NBR_BURN_IN_1 DRAWS_NBR_BURN_IN_2 HORIZON
%token SBVAR TREND_VAR DEFLATOR GROWTH_FACTOR MS_IRF MS_VARIANCE_DECOMPOSITION
%token MS_ESTIMATION MS_SIMULATION MS_COMPUTE_MDD MS_COMPUTE_PROBABILITIES MS_FORECAST
%token SVAR_IDENTIFICATION EQUATION EXCLUSION LAG UPPER_CHOLESKY LOWER_CHOLESKY
%token SVAR_IDENTIFICATION EQUATION EXCLUSION LAG UPPER_CHOLESKY LOWER_CHOLESKY
%token MARKOV_SWITCHING CHAIN STATE DURATION NUMBER_OF_STATES
%token SVAR COEFFICIENTS VARIANCES CONSTANTS EQUATIONS
%token EXTERNAL_FUNCTION EXT_FUNC_NAME EXT_FUNC_NARGS FIRST_DERIV_PROVIDED SECOND_DERIV_PROVIDED
@ -672,21 +672,20 @@ svar_identification : SVAR_IDENTIFICATION ';' svar_identification_list END ';'
{ driver.end_svar_identification(); }
;
svar_identification_list : svar_exclusion_list
svar_identification_list : svar_identification_list svar_identification_elem
| svar_identification_elem
;
svar_identification_elem : EXCLUSION LAG INT_NUMBER ';' svar_equation_list
{ driver.combine_lag_and_restriction($3); }
| EXCLUSION CONSTANTS ';'
{ driver.add_constants_exclusion(); }
| UPPER_CHOLESKY ';'
{ driver.add_upper_cholesky(); }
| LOWER_CHOLESKY ';'
{ driver.add_lower_cholesky(); }
;
svar_exclusion_list : svar_exclusion_list svar_exclusion_elem
| svar_exclusion_elem
;
svar_exclusion_elem : EXCLUSION LAG INT_NUMBER ';' svar_equation_list
{ driver.combine_lag_and_restriction($3); }
;
svar_equation_list : svar_equation_list EQUATION INT_NUMBER COMMA svar_var_list ';'
{ driver.add_restriction_in_equation($3); }
| EQUATION INT_NUMBER COMMA svar_var_list ';'

3
DynareFlex.ll
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@ -419,6 +419,7 @@ string eofbuff;
<DYNARE_BLOCK># {return Dynare::parser::token_type (yytext[0]);}
<DYNARE_BLOCK>autocorr {return token::AUTOCORR;}
<DYNARE_BLOCK>restrictions {return token::RESTRICTIONS;}
/* Inside Dynare statement */
<DYNARE_STATEMENT>solve_algo {return token::SOLVE_ALGO;}
@ -454,7 +455,6 @@ string eofbuff;
<DYNARE_STATEMENT>duration {return token::DURATION;}
<DYNARE_STATEMENT>coefficients {return token::COEFFICIENTS;}
<DYNARE_STATEMENT>variances {return token::VARIANCES;}
<DYNARE_STATEMENT>constants {return token::CONSTANTS;}
<DYNARE_STATEMENT>equations {return token::EQUATIONS;}
<DYNARE_STATEMENT>[\.] {return Dynare::parser::token_type (yytext[0]);}
@ -517,6 +517,7 @@ string eofbuff;
<DYNARE_STATEMENT,DYNARE_BLOCK>full {return token::FULL;}
<DYNARE_STATEMENT,DYNARE_BLOCK>nan {return token::NAN_CONSTANT;}
<DYNARE_STATEMENT,DYNARE_BLOCK>inf {return token::INF_CONSTANT;}
<DYNARE_STATEMENT,DYNARE_BLOCK>constants {return token::CONSTANTS;}
/* options for GSA module by Marco Ratto */
<DYNARE_STATEMENT>identification {return token::IDENTIFICATION;}

8
ParsingDriver.cc
View File

@ -747,9 +747,11 @@ ParsingDriver::end_svar_identification()
mod_file->addStatement(new SvarIdentificationStatement(svar_ident_exclusion_values,
svar_upper_cholesky,
svar_lower_cholesky,
svar_constants_exclusion,
mod_file->symbol_table));
svar_upper_cholesky = false;
svar_lower_cholesky = false;
svar_constants_exclusion = false;
svar_restriction_symbols.clear();
svar_equation_restrictions.clear();
svar_ident_exclusion_values.clear();
@ -775,6 +777,12 @@ ParsingDriver::combine_lag_and_restriction(string *lag)
delete lag;
}
void
ParsingDriver::add_constants_exclusion(void)
{
svar_constants_exclusion = true;
}
void
ParsingDriver::add_restriction_in_equation(string *equation)
{

12
ParsingDriver.hh
View File

@ -142,13 +142,15 @@ private:
HomotopyStatement::homotopy_values_t homotopy_values;
//! Temporary storage for svar_identification blocks
SvarIdentificationStatement::svar_identification_exclusion_t svar_ident_exclusion_values;
//! Temporary storage for mapping the equation number to the restrictions within an svar_identification bock
//! Temporary storage for mapping the equation number to the restrictions within an svar_identification block
map<int, vector<int> > svar_equation_restrictions;
//! Temporary storage for restrictions in an equation within an svar_identification bock
//! Temporary storage for restrictions in an equation within an svar_identification block
vector<int> svar_restriction_symbols;
//! Temporary storage for upper cholesky within an svar_identification bock
//! Temporary storage for constants exculsion within an svar_identification
bool svar_constants_exclusion;
//! Temporary storage for upper cholesky within an svar_identification block
bool svar_upper_cholesky;
//! Temporary storage for lower cholesky within an svar_identification bock
//! Temporary storage for lower cholesky within an svar_identification block
bool svar_lower_cholesky;
//! Temporary storage for argument list of external function
@ -353,6 +355,8 @@ public:
void add_restriction_in_equation(string *equation);
//! Svar_Identification Statement: add list of restriction symbol ids
void add_in_svar_restriction_symbols(string *name);
//! Svar_Identification Statement: add exclusions of constants
void add_constants_exclusion();
//! Svar_Identification Statement: restriction of form upper cholesky
void add_upper_cholesky();
//! Svar_Identification Statement: restriction of form lower cholesky