f05b552f31
PAC: correctly handle log() and diff() operators in the equation defining the target
...
By default, the preprocessor substitutes logs and diffs by auxiliary variables
only in equations of auxiliary models (VAR, PAC). Hence they are not
substituted in the equation defining the target, since it is outside the
auxiliary model.
The fix consists in doing the substitution in that equation as well, when we
parse the linear combination within that equation.
Ref. dynare#1837
2022-01-17 12:57:37 +01:00
ebf7b6c51d
Clang compatibility fix
2022-01-06 14:35:39 +01:00
a8fce06dc4
PAC: new options “auxname” and “kind” to “pac_model”
2021-12-16 15:40:47 +01:00
ea6fb40db7
PAC: new “pac_target_info” block and “pac_target_nonstationary” operator
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Ref. Madysson/estimation-codes#5
2021-12-16 15:40:47 +01:00
6a31ba4b62
PAC: minor simplification in the matching of the growth expression
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Simple variable nodes are already correctly matched by
ExprNode::matchLinearCombinationOfVariables().
Also improve the related documentation.
2021-12-16 15:40:47 +01:00
ae242770f9
PAC: in the backward case, unify h0 and h1 parameters vector into a single vector
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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.
2021-11-23 14:31:03 +01:00
0f89569f7e
PAC: in the backward case, create an aux. var. for the pac_expectation expression
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By the way, refactor the MCE case by merging two routines related to the Z₁ aux. var.
This restores the symmetry with the backward case, now that the latter also has
an aux. var. for the pac_expectation operator. Also store the aux. var. IDs in a
structure common to the backward and MCE cases.
2021-11-23 14:31:03 +01:00
0e62206203
PAC: drop support for multiple PAC equations associated to a given PAC model
2021-11-23 14:31:02 +01:00
37a6ed6261
PAC: rethink the relation between PacModelTable and DynamicModel classes
2021-10-29 14:11:30 +02:00
127361971f
PAC: refactor with new PacModelTable that replaces PacModelStatement(s)
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Incidentally, the auxiliary endogenous variable representing Z₁ and created for
PAC MCE models no longer necessarily appear as the first auxiliary variable (so
this is effectively a revert of 64f55e4a5e
2021-10-29 14:11:30 +02:00
Stéphane Adjemian (Ryûk)
8305b94d29
Fix constant definition in reduced form VAR.
2021-07-21 17:53:55 +02:00
Stéphane Adjemian (Ryûk)
c6a7d56b36
Fix constants in var model (it has to be a vector).
2021-07-21 17:53:55 +02:00
a6add6127b
VAR models: output vector of constants in varmatrices.m
2021-07-21 17:53:54 +02:00
Stéphane Adjemian (Ryûk)
6b9d94405c
Return the reduced form of the structural VAR model optionally.
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Also
- changed the name of the generated matlab routine,
- changed initialization of matrix a0.
2021-07-16 08:33:26 +02:00
365fb27f3d
New “structural” option to “var_model”
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As the name implies, this option allows contemporaneous variables on the RHS.
The A0 matrix for contemporaneous variables is added as a second (optional)
output to the generated var_ar.m file. Note that for reduced-form VAR, this
matrix will be the identity.
Also, the user is now allowed to write the VAR models in a more flexible form:
the LHS must still be a single variable, but the RHS can be an arbitrary
expression (as long as it is linear, obviously). Internally, the preprocessor
now uses derivation to compute the coefficients of the AR and A0. This change
applies to both reduced-form and structural VAR models.
Ref. dynare#1785
2021-07-08 12:55:47 +02:00
67f4777ac3
Remove support for obsolete syntax: var_model(order = 2) X Y Z;
2021-07-07 18:26:09 +02:00
5a33699f03
VAR / trend component models: cosmetic changes
2021-07-01 17:52:05 +02:00
74ef3457b4
Use secure URL for link to GNU licenses
2021-06-09 17:21:00 +02:00
e2d5a83592
Global reindentation
2019-12-20 16:59:30 +01:00
031c0cff5f
Various code simplifications and modernizations
2019-12-16 19:42:59 +01:00
2c6fa34a1f
C++17: use structured bindings instead of std::tie whenever possible
2019-09-11 16:40:19 +02:00
1907249fac
Ask GCC to warn about C-style casts (-Wold-style-cast)
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Adapt the code accordingly.
2019-04-23 12:54:11 +02:00
b73d554ad2
Use Unicode copyright symbol (in UTF-8 encoding)
2019-04-16 11:35:31 +02:00
8a41a75c85
Apply modernize-raw-string-literal from clang-tidy
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Use ReplaceShorterLiterals option to enforce replacement of all strings.
https://clang.llvm.org/extra/clang-tidy/checks/modernize-raw-string-literal.html
2019-04-03 16:45:52 +02:00
a3c08f932e
simplify code to find autoregressive matrix for VARs
2019-03-15 12:26:59 +01:00
4160e48dab
output info relative to A0star column indices
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(cherry picked from commit 70f73d9bd5232044f3e31f1e4b26425bd149a869)
2019-02-21 12:57:18 +01:00
fc6d04b015
create A0 and A0star matrices for trend component models
2019-02-19 12:26:30 +01:00
b3fbb86214
relieve constraint that max lag on EC matrix is 1
2019-02-15 11:12:07 +01:00
f4837e6c94
fix AR and EC matrices when `equation = C` results in a simplified equation
2019-02-14 17:09:57 +01:00
bef7c2a193
remove need to declare equations nonstationary
2018-10-24 16:04:51 +02:00
7bb5382428
Always use brace-initializer in constructors
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The syntax makes clearer the distinction between a function call and an
initialization. Also, it prevents bugs due to implicit type conversions.
2018-10-04 17:19:18 +02:00
fbeae9619a
aesthetic fix
2018-09-25 15:48:05 +02:00
6c7d7f5d44
don’t create file if trend_component_model/var_model statement not present
2018-09-25 12:18:52 +02:00
8ec06dddc4
fix typo and remove unnecessary braces
2018-09-18 17:31:51 +02:00
eb74d48393
trend_component_model: replace `trends` option with `targets`
2018-09-13 12:21:23 +02:00
dfb0629c25
fix typo
2018-09-12 18:21:34 +02:00
dc9ecbb49a
fix bug in columns of EC matrix
2018-09-12 17:56:30 +02:00
aa120abd02
simplify code
2018-09-12 11:57:14 +02:00
f71c861d5e
output EC matrix in file for trend component models
2018-09-10 17:44:04 +02:00
46709ada3f
output AR matrix in file for trend component models
2018-09-10 14:51:33 +02:00
f5e5dea1be
support hard-coded parameters and parameter expressions in AR matrix
2018-09-07 10:14:18 +02:00
acc197f539
output AR matrix in file
2018-09-06 18:00:05 +02:00
7a438a3ce7
ensure that trend_variable found is actually a trend variable as declared in the trend_component_model statement
2018-09-03 15:05:30 +02:00
fde836d7fe
trend_component_model: find trend_vars associated with equation
2018-08-31 14:24:44 +02:00
91b7888e61
print nonstationary field for trend_component and var models
2018-08-22 14:29:07 +02:00
1918a56a70
fix bug in 539fddc9f6
2018-08-22 12:56:16 +02:00
539fddc9f6
introduce var model table
2018-08-22 12:15:02 +02:00
6015b0e57b
fixes to trend component model
2018-08-22 12:15:02 +02:00
0d5dd11106
fix typo
2018-08-20 10:50:28 +02:00
afe0e475b1
trend_component_model statement
2018-08-17 16:52:48 +02:00
Sébastien Villemot
Stéphane Adjemian (Ryûk)
Houtan Bastani