trend_component_model: simplify AR
Houtan Bastani
parent
a3c08f932e
commit
f1d1c1e1c1
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@ -4043,7 +4043,7 @@ DynamicModel::fillVarModelTable() const
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var_model_table.setLhsExprT(lhs_expr_tr);
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// Fill AR Matrix
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var_model_table.setAR(fillAutoregressiveMatrixForVAR());
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var_model_table.setAR(fillAutoregressiveMatrix(true));
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}
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void
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@ -4114,37 +4114,27 @@ DynamicModel::fillVarModelTableFromOrigModel(StaticModel &static_model) const
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}
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map<string, map<tuple<int, int, int>, expr_t>>
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DynamicModel::fillAutoregressiveMatrixForVAR() const
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DynamicModel::fillAutoregressiveMatrix(bool is_var) const
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{
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map<string, map<tuple<int, int, int>, expr_t>> ARr;
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for (const auto & it : var_model_table.getEqNums())
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auto eqnums = is_var ?
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var_model_table.getEqNums() : trend_component_model_table.getNonTargetEqNums();
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for (const auto & it : eqnums)
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{
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int i = 0;
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map<tuple<int, int, int>, expr_t> AR;
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vector<int> lhs = is_var ?
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var_model_table.getLhsOrigIds(it.first) : trend_component_model_table.getNonTargetLhs(it.first);
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for (auto eqn : it.second)
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{
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auto *bopn = dynamic_cast<BinaryOpNode *>(equations[eqn]->arg2);
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bopn->fillAutoregressiveRowForVAR(i++, var_model_table.getLhsOrigIds(it.first), AR);
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bopn->fillAutoregressiveRow(i++, lhs, AR);
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}
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ARr[it.first] = AR;
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}
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return ARr;
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}
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void
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DynamicModel::fillAutoregressiveMatrix(map<string, map<tuple<int, int, int>, expr_t>> &ARr) const
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{
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for (const auto & it : trend_component_model_table.getNonTargetEqNums())
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{
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int i = 0;
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map<tuple<int, int, int>, expr_t> AR;
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vector<int> lhs = trend_component_model_table.getNonTargetLhs(it.first);
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for (auto eqn : it.second)
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equations[eqn]->arg2->fillAutoregressiveRow(i++, lhs, AR);
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ARr[it.first] = AR;
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}
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}
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void
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DynamicModel::fillTrendComponentModelTable() const
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{
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@ -4348,7 +4338,7 @@ void
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DynamicModel::fillTrendComponentmodelTableAREC(ExprNode::subst_table_t &diff_subst_table) const
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{
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map<string, map<tuple<int, int, int>, expr_t>> ARr, A0r, A0starr;
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fillAutoregressiveMatrix(ARr);
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ARr = fillAutoregressiveMatrix(false);
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trend_component_model_table.setAR(ARr);
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fillErrorComponentMatrix(A0r, A0starr, diff_subst_table);
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trend_component_model_table.setA0(A0r, A0starr);
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@ -316,11 +316,8 @@ public:
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//! Set the equations that have non-zero second derivatives
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void setNonZeroHessianEquations(map<int, string> &eqs);
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//! Fill Autoregressive Matrix for trend_component_model
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void fillAutoregressiveMatrix(map<string, map<tuple<int, int, int>, expr_t>> &ARr) const;
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//! Fill Autoregressive Matrix for var_model
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map<string, map<tuple<int, int, int>, expr_t>> fillAutoregressiveMatrixForVAR() const;
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map<string, map<tuple<int, int, int>, expr_t>> fillAutoregressiveMatrix(bool is_var) const;
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//! Fill Error Component Matrix for trend_component_model
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void fillErrorComponentMatrix(map<string, map<tuple<int, int, int>, expr_t>> &A0r, map<string, map<tuple<int, int, int>, expr_t>> &A0starr, ExprNode::subst_table_t &diff_subst_table) const;
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110
src/ExprNode.cc
110
src/ExprNode.cc
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@ -686,11 +686,6 @@ NumConstNode::substituteStaticAuxiliaryVariable() const
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return const_cast<NumConstNode *>(this);
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}
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void
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NumConstNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
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{
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}
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void
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NumConstNode::fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const
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{
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@ -1979,11 +1974,6 @@ VariableNode::getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const
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model_endos_and_lags[varname] = lag;
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}
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void
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VariableNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
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{
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}
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void
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VariableNode::fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const
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{
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@ -3794,12 +3784,6 @@ UnaryOpNode::substituteStaticAuxiliaryVariable() const
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return buildSimilarUnaryOpNode(argsubst, datatree);
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}
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void
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UnaryOpNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
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{
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arg->fillAutoregressiveRow(eqn, lhs, AR);
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}
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void
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UnaryOpNode::fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const
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{
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@ -5853,73 +5837,8 @@ BinaryOpNode::getPacOptimizingShareAndExprNodes(int lhs_symb_id, int lhs_orig_sy
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return {optim_share, optim_part, non_optim_part, additive_part};
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}
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void
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BinaryOpNode::fillAutoregressiveRowHelper(expr_t arg1, expr_t arg2,
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int eqn,
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const vector<int> &lhs,
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map<tuple<int, int, int>, expr_t> &AR) const
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{
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if (op_code != BinaryOpcode::times)
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return;
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set<pair<int, int>> endogs, tmp;
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arg1->collectDynamicVariables(SymbolType::endogenous, tmp);
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arg1->collectDynamicVariables(SymbolType::exogenous, tmp);
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if (tmp.size() != 0)
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return;
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arg1->collectDynamicVariables(SymbolType::parameter, tmp);
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if (tmp.size() != 1)
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return;
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auto *vn = dynamic_cast<VariableNode *>(arg2);
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if (vn == nullptr)
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return;
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arg2->collectDynamicVariables(SymbolType::exogenous, endogs);
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if (endogs.size() != 0)
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{
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cerr << "BinaryOpNode::fillAutoregressiveRowHelper: do not currently support param*exog;" << endl;
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exit(EXIT_FAILURE);
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}
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arg2->collectDynamicVariables(SymbolType::endogenous, endogs);
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if (endogs.size() != 1)
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return;
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int lhs_symb_id = endogs.begin()->first;
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int lag = endogs.begin()->second;
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if (datatree.symbol_table.isAuxiliaryVariable(lhs_symb_id))
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{
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int orig_lhs_symb_id = datatree.symbol_table.getOrigSymbIdForDiffAuxVar(lhs_symb_id);
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if (find(lhs.begin(), lhs.end(), orig_lhs_symb_id) == lhs.end())
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return;
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lag = -1 * datatree.symbol_table.getOrigLeadLagForDiffAuxVar(lhs_symb_id);
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lhs_symb_id = orig_lhs_symb_id;
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}
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else
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if (find(lhs.begin(), lhs.end(), lhs_symb_id) == lhs.end())
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return;
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if (AR.find({eqn, -lag, lhs_symb_id}) != AR.end())
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{
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cerr << "BinaryOpNode::fillAutoregressiveRowHelper: Error filling AR matrix: lag/symb_id encountered more than once in equtaion" << endl;
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exit(EXIT_FAILURE);
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}
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AR[{eqn, -lag, lhs_symb_id}] = arg1;
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}
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void
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BinaryOpNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
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{
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fillAutoregressiveRowHelper(arg1, arg2, eqn, lhs, AR);
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fillAutoregressiveRowHelper(arg2, arg1, eqn, lhs, AR);
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arg1->fillAutoregressiveRow(eqn, lhs, AR);
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arg2->fillAutoregressiveRow(eqn, lhs, AR);
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}
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void
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BinaryOpNode::fillAutoregressiveRowForVAR(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
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{
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vector<pair<expr_t, int>> terms;
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decomposeAdditiveTerms(terms, 1);
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@ -7100,14 +7019,6 @@ TrinaryOpNode::substituteStaticAuxiliaryVariable() const
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return buildSimilarTrinaryOpNode(arg1subst, arg2subst, arg3subst, datatree);
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}
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void
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TrinaryOpNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
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{
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arg1->fillAutoregressiveRow(eqn, lhs, AR);
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arg2->fillAutoregressiveRow(eqn, lhs, AR);
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arg3->fillAutoregressiveRow(eqn, lhs, AR);
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}
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void
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TrinaryOpNode::fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const
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{
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@ -7736,13 +7647,6 @@ AbstractExternalFunctionNode::substituteStaticAuxiliaryVariable() const
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return buildSimilarExternalFunctionNode(arguments_subst, datatree);
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}
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void
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AbstractExternalFunctionNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
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{
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cerr << "External functions not supported in VARs or Trend Component Models" << endl;
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exit(EXIT_FAILURE);
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}
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void
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AbstractExternalFunctionNode::fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const
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{
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@ -9254,13 +9158,6 @@ VarExpectationNode::substituteStaticAuxiliaryVariable() const
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return const_cast<VarExpectationNode *>(this);
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}
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void
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VarExpectationNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
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{
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cerr << "Var Expectation not supported in VARs or Trend Component Models" << endl;
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exit(EXIT_FAILURE);
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}
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void
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VarExpectationNode::fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const
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{
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@ -9670,13 +9567,6 @@ PacExpectationNode::substituteStaticAuxiliaryVariable() const
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return const_cast<PacExpectationNode *>(this);
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}
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void
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PacExpectationNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
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{
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cerr << "Pac Expectation not supported in VARs" << endl;
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exit(EXIT_FAILURE);
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}
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void
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PacExpectationNode::fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const
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{
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@ -593,9 +593,6 @@ class ExprNode
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//! param * (endog op endog op ...) + param * (endog op endog op ...) + ...
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virtual bool isParamTimesEndogExpr() const = 0;
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//! Fills the AR matrix structure
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virtual void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const = 0;
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//! Fills the EC matrix structure
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virtual void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs,
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map<tuple<int, int, int>, expr_t> &A0,
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@ -718,7 +715,6 @@ public:
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expr_t clone(DataTree &datatree) const override;
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expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const override;
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bool isInStaticForm() const override;
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void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
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void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const override;
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void findConstantEquations(map<VariableNode *, NumConstNode *> &table) const override;
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expr_t replaceVarsInEquation(map<VariableNode *, NumConstNode *> &table) const override;
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@ -803,7 +799,6 @@ public:
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expr_t clone(DataTree &datatree) const override;
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expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const override;
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bool isInStaticForm() const override;
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void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
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void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const override;
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void findConstantEquations(map<VariableNode *, NumConstNode *> &table) const override;
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expr_t replaceVarsInEquation(map<VariableNode *, NumConstNode *> &table) const override;
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@ -916,7 +911,6 @@ public:
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expr_t clone(DataTree &datatree) const override;
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expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const override;
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bool isInStaticForm() const override;
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void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
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void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const override;
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void findConstantEquations(map<VariableNode *, NumConstNode *> &table) const override;
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expr_t replaceVarsInEquation(map<VariableNode *, NumConstNode *> &table) const override;
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@ -1038,10 +1032,7 @@ public:
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//! Returns the non-zero hand-side of an equation (that must have a hand side equal to zero)
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expr_t getNonZeroPartofEquation() const;
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bool isInStaticForm() const override;
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void fillAutoregressiveRowHelper(expr_t arg1, expr_t arg2,
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int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const;
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void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
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void fillAutoregressiveRowForVAR(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const;
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void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const;
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void fillErrorCorrectionRowHelper(expr_t arg1, expr_t arg2,
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int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs,
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map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const;
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@ -1167,7 +1158,6 @@ public:
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expr_t clone(DataTree &datatree) const override;
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expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const override;
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bool isInStaticForm() const override;
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void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
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void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const override;
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void findConstantEquations(map<VariableNode *, NumConstNode *> &table) const override;
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expr_t replaceVarsInEquation(map<VariableNode *, NumConstNode *> &table) const override;
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@ -1289,7 +1279,6 @@ public:
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expr_t clone(DataTree &datatree) const override = 0;
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expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const override;
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bool isInStaticForm() const override;
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void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
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void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const override;
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void findConstantEquations(map<VariableNode *, NumConstNode *> &table) const override;
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expr_t replaceVarsInEquation(map<VariableNode *, NumConstNode *> &table) const override;
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@ -1499,7 +1488,6 @@ public:
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expr_t detrend(int symb_id, bool log_trend, expr_t trend) const override;
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expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const override;
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bool isInStaticForm() const override;
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void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
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void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const override;
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void findConstantEquations(map<VariableNode *, NumConstNode *> &table) const override;
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expr_t replaceVarsInEquation(map<VariableNode *, NumConstNode *> &table) const override;
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@ -1582,7 +1570,6 @@ public:
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expr_t detrend(int symb_id, bool log_trend, expr_t trend) const override;
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expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const override;
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bool isInStaticForm() const override;
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void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
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void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const override;
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void findConstantEquations(map<VariableNode *, NumConstNode *> &table) const override;
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expr_t replaceVarsInEquation(map<VariableNode *, NumConstNode *> &table) const override;
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Reference in New Issue