1296 lines
42 KiB
C++
1296 lines
42 KiB
C++
/*
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* Copyright (C) 2003-2010 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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#include <cstdlib>
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#include <cassert>
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#include <iostream>
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#include <sstream>
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using namespace std;
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#include "ComputingTasks.hh"
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#include "Statement.hh"
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SteadyStatement::SteadyStatement(const OptionsList &options_list_arg) :
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options_list(options_list_arg)
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{
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}
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void
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SteadyStatement::checkPass(ModFileStructure &mod_file_struct)
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{
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mod_file_struct.steady_present = true;
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}
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void
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SteadyStatement::writeOutput(ostream &output, const string &basename) const
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{
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options_list.writeOutput(output);
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output << "steady;\n";
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}
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CheckStatement::CheckStatement(const OptionsList &options_list_arg) :
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options_list(options_list_arg)
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{
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}
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void
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CheckStatement::writeOutput(ostream &output, const string &basename) const
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{
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options_list.writeOutput(output);
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output << "check;\n";
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}
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void
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CheckStatement::checkPass(ModFileStructure &mod_file_struct)
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{
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mod_file_struct.check_present = true;
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}
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ModelInfoStatement::ModelInfoStatement(const OptionsList &options_list_arg) :
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options_list(options_list_arg)
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{
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}
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void
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ModelInfoStatement::checkPass(ModFileStructure &mod_file_struct)
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{
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//mod_file_struct.model_info_present = true;
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}
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void
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ModelInfoStatement::writeOutput(ostream &output, const string &basename) const
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{
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options_list.writeOutput(output);
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output << "model_info();\n";
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}
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SimulStatement::SimulStatement(const OptionsList &options_list_arg) :
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options_list(options_list_arg)
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{
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}
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void
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SimulStatement::checkPass(ModFileStructure &mod_file_struct)
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{
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mod_file_struct.simul_present = true;
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}
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void
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SimulStatement::writeOutput(ostream &output, const string &basename) const
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{
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options_list.writeOutput(output);
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output << "simul(oo_.dr);\n";
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}
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StochSimulStatement::StochSimulStatement(const SymbolList &symbol_list_arg,
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const OptionsList &options_list_arg) :
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symbol_list(symbol_list_arg),
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options_list(options_list_arg)
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{
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}
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void
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StochSimulStatement::checkPass(ModFileStructure &mod_file_struct)
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{
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mod_file_struct.stoch_simul_present = true;
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// Fill in option_order of mod_file_struct
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OptionsList::num_options_t::const_iterator it = options_list.num_options.find("order");
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if (it != options_list.num_options.end())
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mod_file_struct.order_option = max(mod_file_struct.order_option, atoi(it->second.c_str()));
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// Fill in mod_file_struct.partial_information
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it = options_list.num_options.find("partial_information");
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if (it != options_list.num_options.end() && it->second == "1")
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mod_file_struct.partial_information = true;
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// Option k_order_solver (implicit when order >= 3)
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it = options_list.num_options.find("k_order_solver");
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if ((it != options_list.num_options.end() && it->second == "1")
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|| mod_file_struct.order_option >= 3)
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mod_file_struct.k_order_solver = true;
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// Check that option "pruning" is not used with k-order
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it = options_list.num_options.find("pruning");
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if ((it != options_list.num_options.end() && it->second == "1")
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&& mod_file_struct.k_order_solver)
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{
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cerr << "ERROR: in 'stoch_simul', you cannot use option 'pruning' with 'k_order_solver' option or with 3rd order approximation" << endl;
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exit(EXIT_FAILURE);
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}
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}
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void
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StochSimulStatement::writeOutput(ostream &output, const string &basename) const
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{
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options_list.writeOutput(output);
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symbol_list.writeOutput("var_list_", output);
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output << "info = stoch_simul(var_list_);" << endl;
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}
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ForecastStatement::ForecastStatement(const SymbolList &symbol_list_arg,
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const OptionsList &options_list_arg) :
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symbol_list(symbol_list_arg),
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options_list(options_list_arg)
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{
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}
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void
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ForecastStatement::writeOutput(ostream &output, const string &basename) const
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{
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options_list.writeOutput(output);
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symbol_list.writeOutput("var_list_", output);
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output << "info = forecast(var_list_,'simul');\n";
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}
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RamseyPolicyStatement::RamseyPolicyStatement(const SymbolList &symbol_list_arg,
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const OptionsList &options_list_arg) :
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symbol_list(symbol_list_arg),
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options_list(options_list_arg)
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{
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}
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void
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RamseyPolicyStatement::checkPass(ModFileStructure &mod_file_struct)
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{
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mod_file_struct.ramsey_policy_present = true;
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/* Fill in option_order of mod_file_struct
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Since ramsey policy needs one further order of derivation (for example, for 1st order
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approximation, it needs 2nd derivatives), we add 1 to the order declared by user */
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OptionsList::num_options_t::const_iterator it = options_list.num_options.find("order");
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if (it != options_list.num_options.end())
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{
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int order = atoi(it->second.c_str());
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if (order > 1)
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{
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cerr << "ERROR: ramsey_policy: order > 1 is not yet implemented" << endl;
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exit(EXIT_FAILURE);
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}
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mod_file_struct.order_option = max(mod_file_struct.order_option, order + 1);
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}
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// Fill in mod_file_struct.partial_information
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it = options_list.num_options.find("partial_information");
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if (it != options_list.num_options.end() && it->second == "1")
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mod_file_struct.partial_information = true;
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// Option k_order_solver (implicit when order >= 3)
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it = options_list.num_options.find("k_order_solver");
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if ((it != options_list.num_options.end() && it->second == "1")
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|| mod_file_struct.order_option >= 3)
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mod_file_struct.k_order_solver = true;
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}
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void
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RamseyPolicyStatement::writeOutput(ostream &output, const string &basename) const
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{
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options_list.writeOutput(output);
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symbol_list.writeOutput("var_list_", output);
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output << "ramsey_policy(var_list_);\n";
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}
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EstimationStatement::EstimationStatement(const SymbolList &symbol_list_arg,
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const OptionsList &options_list_arg,
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const SymbolTable &symbol_table_arg) :
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symbol_list(symbol_list_arg),
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options_list(options_list_arg),
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symbol_table(symbol_table_arg)
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{
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}
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void
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EstimationStatement::checkPass(ModFileStructure &mod_file_struct)
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{
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mod_file_struct.estimation_present = true;
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// Fill in option_order of mod_file_struct
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OptionsList::num_options_t::const_iterator it = options_list.num_options.find("order");
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if (it != options_list.num_options.end())
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mod_file_struct.order_option = max(mod_file_struct.order_option, atoi(it->second.c_str()));
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// Fill in mod_file_struct.partial_information
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it = options_list.num_options.find("partial_information");
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if (it != options_list.num_options.end() && it->second == "1")
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mod_file_struct.partial_information = true;
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// Fill in mod_file_struct.dsge_var_calibrated
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it = options_list.num_options.find("dsge_var");
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if (it != options_list.num_options.end())
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mod_file_struct.dsge_var_calibrated = it->second;
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// Fill in mod_file_struct.dsge_var_estimated
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OptionsList::string_options_t::const_iterator it_str = options_list.string_options.find("dsge_var");
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if (it_str != options_list.string_options.end())
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mod_file_struct.dsge_var_estimated = true;
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// Fill in mod_file_struct.bayesian_irf_present
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it = options_list.num_options.find("bayesian_irf");
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if (it != options_list.num_options.end() && it->second == "1")
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mod_file_struct.bayesian_irf_present = true;
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it = options_list.num_options.find("dsge_varlag");
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if (it != options_list.num_options.end())
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if (mod_file_struct.dsge_var_calibrated.empty() &&
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!mod_file_struct.dsge_var_estimated)
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{
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cerr << "ERROR: The estimation statement requires a dsge_var option to be passed "
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<< "if the dsge_varlag option is passed." << endl;
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exit(EXIT_FAILURE);
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}
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if (!mod_file_struct.dsge_var_calibrated.empty() &&
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mod_file_struct.dsge_var_estimated)
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{
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cerr << "ERROR: An estimation statement cannot take more than one dsge_var option." << endl;
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exit(EXIT_FAILURE);
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}
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}
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void
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EstimationStatement::writeOutput(ostream &output, const string &basename) const
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{
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options_list.writeOutput(output);
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symbol_list.writeOutput("var_list_", output);
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output << "dynare_estimation(var_list_);\n";
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}
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DynareSensitivityStatement::DynareSensitivityStatement(const OptionsList &options_list_arg) :
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options_list(options_list_arg)
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{
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}
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void
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DynareSensitivityStatement::checkPass(ModFileStructure &mod_file_struct)
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{
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OptionsList::num_options_t::const_iterator it = options_list.num_options.find("identification");
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if (it != options_list.num_options.end()
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&& it->second == "1")
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mod_file_struct.identification_present = true;
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}
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void
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DynareSensitivityStatement::writeOutput(ostream &output, const string &basename) const
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{
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options_list.writeOutput(output, "options_gsa");
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output << "dynare_sensitivity(options_gsa);" << endl;
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}
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RplotStatement::RplotStatement(const SymbolList &symbol_list_arg,
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const OptionsList &options_list_arg) :
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symbol_list(symbol_list_arg),
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options_list(options_list_arg)
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{
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}
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void
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RplotStatement::writeOutput(ostream &output, const string &basename) const
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{
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options_list.writeOutput(output);
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symbol_list.writeOutput("var_list_", output);
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output << "rplot(var_list_);\n";
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}
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UnitRootVarsStatement::UnitRootVarsStatement(const SymbolList &symbol_list_arg) :
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symbol_list(symbol_list_arg)
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{
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}
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void
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UnitRootVarsStatement::writeOutput(ostream &output, const string &basename) const
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{
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symbol_list.writeOutput("options_.unit_root_vars", output);
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}
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PeriodsStatement::PeriodsStatement(int periods_arg) : periods(periods_arg)
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{
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}
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void
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PeriodsStatement::writeOutput(ostream &output, const string &basename) const
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{
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output << "options_.periods = " << periods << ";" << endl;
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}
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DsampleStatement::DsampleStatement(int val1_arg) : val1(val1_arg), val2(-1)
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{
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}
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DsampleStatement::DsampleStatement(int val1_arg, int val2_arg) : val1(val1_arg), val2(val2_arg)
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{
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}
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void
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DsampleStatement::writeOutput(ostream &output, const string &basename) const
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{
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if (val2 < 0)
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output << "dsample(" << val1 << ");" << endl;
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else
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output << "dsample(" << val1 << ", " << val2 << ");" << endl;
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}
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EstimatedParamsStatement::EstimatedParamsStatement(const vector<EstimationParams> &estim_params_list_arg,
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const SymbolTable &symbol_table_arg) :
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estim_params_list(estim_params_list_arg),
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symbol_table(symbol_table_arg)
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{
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}
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void
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EstimatedParamsStatement::checkPass(ModFileStructure &mod_file_struct)
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{
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for (vector<EstimationParams>::const_iterator it = estim_params_list.begin();
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it != estim_params_list.end(); it++)
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{
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if (it->name == "dsge_prior_weight")
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mod_file_struct.dsge_prior_weight_in_estimated_params = true;
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// Handle case of degenerate beta prior
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if (it->prior == "1") //BETA_PDF is associated with "1" in DynareBison.yy
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try
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{
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if (it->mean->eval(eval_context_t()) == 0.5 &&
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it->std->eval(eval_context_t()) == 0.5)
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{
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cerr << "ERROR: The prior density is not defined for the beta distribution when the mean = standard deviation = 0.5." << endl;
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exit(EXIT_FAILURE);
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}
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}
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catch (ExprNode::EvalException &e)
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{
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// We don't have enough information to compute the numerical value, skip the test
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}
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}
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}
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void
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EstimatedParamsStatement::writeOutput(ostream &output, const string &basename) const
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{
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output << "global estim_params_" << endl
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<< "estim_params_.var_exo = [];" << endl
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<< "estim_params_.var_endo = [];" << endl
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<< "estim_params_.corrx = [];" << endl
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<< "estim_params_.corrn = [];" << endl
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<< "estim_params_.param_vals = [];" << endl;
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vector<EstimationParams>::const_iterator it;
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for (it = estim_params_list.begin(); it != estim_params_list.end(); it++)
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{
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int symb_id = symbol_table.getTypeSpecificID(it->name) + 1;
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SymbolType symb_type = symbol_table.getType(it->name);
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switch (it->type)
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{
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case 1:
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if (symb_type == eExogenous)
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output << "estim_params_.var_exo = [estim_params_.var_exo; ";
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else if (symb_type == eEndogenous)
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output << "estim_params_.var_endo = [estim_params_.var_endo; ";
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output << symb_id;
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break;
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case 2:
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output << "estim_params_.param_vals = [estim_params_.param_vals; "
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<< symb_id;
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break;
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case 3:
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if (symb_type == eExogenous)
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output << "estim_params_.corrx = [estim_params_.corrx; ";
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else if (symb_type == eEndogenous)
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output << "estim_params_.corrn = [estim_params_.corrn; ";
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output << symb_id << " " << symbol_table.getTypeSpecificID(it->name2)+1;
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break;
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}
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output << ", ";
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it->init_val->writeOutput(output);
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output << ", ";
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it->low_bound->writeOutput(output);
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output << ", ";
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it->up_bound->writeOutput(output);
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output << ", "
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<< it->prior << ", ";
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it->mean->writeOutput(output);
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output << ", ";
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it->std->writeOutput(output);
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output << ", ";
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it->p3->writeOutput(output);
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output << ", ";
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it->p4->writeOutput(output);
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output << ", ";
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it->jscale->writeOutput(output);
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output << " ];" << endl;
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}
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}
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EstimatedParamsInitStatement::EstimatedParamsInitStatement(const vector<EstimationParams> &estim_params_list_arg,
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const SymbolTable &symbol_table_arg) :
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estim_params_list(estim_params_list_arg),
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symbol_table(symbol_table_arg)
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{
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}
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void
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EstimatedParamsInitStatement::writeOutput(ostream &output, const string &basename) const
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{
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vector<EstimationParams>::const_iterator it;
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for (it = estim_params_list.begin(); it != estim_params_list.end(); it++)
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{
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int symb_id = symbol_table.getTypeSpecificID(it->name) + 1;
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SymbolType symb_type = symbol_table.getType(it->name);
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if (it->type < 3)
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{
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if (symb_type == eExogenous)
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{
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output << "tmp1 = find(estim_params_.var_exo(:,1)==" << symb_id << ");" << endl;
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output << "estim_params_.var_exo(tmp1,2) = ";
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it->init_val->writeOutput(output);
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output << ";" << endl;
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}
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else if (symb_type == eEndogenous)
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{
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output << "tmp1 = find(estim_params_.var_endo(:,1)==" << symb_id << ");" << endl;
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output << "estim_params_.var_endo(tmp1,2) = ";
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it->init_val->writeOutput(output);
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output << ";" << endl;
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}
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else if (symb_type == eParameter)
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{
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output << "tmp1 = find(estim_params_.param_vals(:,1)==" << symb_id << ");" << endl;
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output << "estim_params_.param_vals(tmp1,2) = ";
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it->init_val->writeOutput(output);
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output << ";" << endl;
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}
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}
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else
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{
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if (symb_type == eExogenous)
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{
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output << "tmp1 = find((estim_params_.corrx(:,1)==" << symb_id << ")) & (estim_params_.corrx(:,2)==" << symbol_table.getTypeSpecificID(it->name2)+1 << ");" << endl;
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output << "estim_params_.corrx(tmp1,3) = ";
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it->init_val->writeOutput(output);
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output << ";" << endl;
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}
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else if (symb_type == eEndogenous)
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{
|
|
output << "tmp1 = find((estim_params_.corrn(:,1)==" << symb_id << ")) & (estim_params_.corrn(:,2)==" << symbol_table.getTypeSpecificID(it->name2)+1 << ";" << endl;
|
|
output << "estim_params_.corrn(tmp1,3) = ";
|
|
it->init_val->writeOutput(output);
|
|
output << ";" << endl;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
EstimatedParamsBoundsStatement::EstimatedParamsBoundsStatement(const vector<EstimationParams> &estim_params_list_arg,
|
|
const SymbolTable &symbol_table_arg) :
|
|
estim_params_list(estim_params_list_arg),
|
|
symbol_table(symbol_table_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
EstimatedParamsBoundsStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
vector<EstimationParams>::const_iterator it;
|
|
|
|
for (it = estim_params_list.begin(); it != estim_params_list.end(); it++)
|
|
{
|
|
int symb_id = symbol_table.getTypeSpecificID(it->name) + 1;
|
|
SymbolType symb_type = symbol_table.getType(it->name);
|
|
|
|
if (it->type < 3)
|
|
{
|
|
if (symb_type == eExogenous)
|
|
{
|
|
output << "tmp1 = find(estim_params_.var_exo(:,1)==" << symb_id << ");" << endl;
|
|
|
|
output << "estim_params_.var_exo(tmp1,3) = ";
|
|
it->low_bound->writeOutput(output);
|
|
output << ";" << endl;
|
|
|
|
output << "estim_params_.var_exo(tmp1,4) = ";
|
|
it->up_bound->writeOutput(output);
|
|
output << ";" << endl;
|
|
}
|
|
else if (symb_type == eEndogenous)
|
|
{
|
|
output << "tmp1 = find(estim_params_.var_endo(:,1)==" << symb_id << ");" << endl;
|
|
|
|
output << "estim_params_.var_endo(tmp1,3) = ";
|
|
it->low_bound->writeOutput(output);
|
|
output << ";" << endl;
|
|
|
|
output << "estim_params_.var_endo(tmp1,4) = ";
|
|
it->up_bound->writeOutput(output);
|
|
output << ";" << endl;
|
|
}
|
|
else if (symb_type == eParameter)
|
|
{
|
|
output << "tmp1 = find(estim_params_.param_vals(:,1)==" << symb_id << ");" << endl;
|
|
|
|
output << "estim_params_.param_vals(tmp1,3) = ";
|
|
it->low_bound->writeOutput(output);
|
|
output << ";" << endl;
|
|
|
|
output << "estim_params_.param_vals(tmp1,4) = ";
|
|
it->up_bound->writeOutput(output);
|
|
output << ";" << endl;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if (symb_type == eExogenous)
|
|
{
|
|
output << "tmp1 = find((estim_params_.corrx(:,1)==" << symb_id << ")) & (estim_params_.corrx(:,2)==" << symbol_table.getTypeSpecificID(it->name2)+1 << ");" << endl;
|
|
|
|
output << "estim_params_.corrx(tmp1,4) = ";
|
|
it->low_bound->writeOutput(output);
|
|
output << ";" << endl;
|
|
|
|
output << "estim_params_.corrx(tmp1,5) = ";
|
|
it->up_bound->writeOutput(output);
|
|
output << ";" << endl;
|
|
}
|
|
else if (symb_type == eEndogenous)
|
|
{
|
|
output << "tmp1 = find((estim_params_.corrn(:,1)==" << symb_id << ")) & (estim_params_.corrn(:,2)==" << symbol_table.getTypeSpecificID(it->name2)+1 << ";" << endl;
|
|
|
|
output << "estim_params_.corrn(tmp1,4) = ";
|
|
it->low_bound->writeOutput(output);
|
|
output << ";" << endl;
|
|
|
|
output << "estim_params_.corrn(tmp1,5) = ";
|
|
it->up_bound->writeOutput(output);
|
|
output << ";" << endl;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
ObservationTrendsStatement::ObservationTrendsStatement(const trend_elements_t &trend_elements_arg,
|
|
const SymbolTable &symbol_table_arg) :
|
|
trend_elements(trend_elements_arg),
|
|
symbol_table(symbol_table_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
ObservationTrendsStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
output << "options_.trend_coeff_ = {};" << endl;
|
|
|
|
trend_elements_t::const_iterator it;
|
|
|
|
for (it = trend_elements.begin(); it != trend_elements.end(); it++)
|
|
{
|
|
SymbolType type = symbol_table.getType(it->first);
|
|
if (type == eEndogenous)
|
|
{
|
|
output << "tmp1 = strmatch('" << it->first << "',options_.varobs,'exact');\n";
|
|
output << "options_.trend_coeffs{tmp1} = '";
|
|
it->second->writeOutput(output);
|
|
output << "';" << endl;
|
|
}
|
|
else
|
|
cout << "Error : Non-variable symbol used in TREND_COEFF: " << it->first << endl;
|
|
}
|
|
}
|
|
|
|
CalibVarStatement::CalibVarStatement(const calib_var_t &calib_var_arg,
|
|
const calib_covar_t &calib_covar_arg,
|
|
const calib_ac_t &calib_ac_arg,
|
|
const SymbolTable &symbol_table_arg) :
|
|
calib_var(calib_var_arg),
|
|
calib_covar(calib_covar_arg),
|
|
calib_ac(calib_ac_arg),
|
|
symbol_table(symbol_table_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
CalibVarStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
|
|
output << "%" << endl
|
|
<< "% CALIB_VAR" << endl
|
|
<< "%" << endl;
|
|
|
|
for (int i = 1; i < 4; i++)
|
|
{
|
|
output << "calib_var_index{" << i << "} = [];\n";
|
|
output << "calib_targets{" << i << "} = [];\n";
|
|
output << "calib_weights{" << i << "}=[];\n";
|
|
}
|
|
|
|
// Print calibration variances
|
|
for (calib_var_t::const_iterator it = calib_var.begin();
|
|
it != calib_var.end(); it++)
|
|
{
|
|
const string &name = it->first;
|
|
const string &weight = it->second.first;
|
|
const expr_t expression = it->second.second;
|
|
|
|
int id = symbol_table.getTypeSpecificID(name) + 1;
|
|
if (symbol_table.getType(name) == eEndogenous)
|
|
{
|
|
output << "calib_var_index{1} = [calib_var_index{1};" << id << "," << id << "];\n";
|
|
output << "calib_weights{1} = [calib_weights{1}; " << weight << "];\n";
|
|
output << "calib_targets{1} =[calib_targets{1}; ";
|
|
expression->writeOutput(output);
|
|
output << "];\n";
|
|
}
|
|
else if (symbol_table.getType(name) == eExogenous)
|
|
{
|
|
output << "calib_var_index{3} = [calib_var_index{3};" << id << "," << id << "];\n";
|
|
output << "calib_weights{3} = [calib_weights{3}; " << weight << "];\n";
|
|
output << "calib_targets{3} =[calib_targets{3}; ";
|
|
expression->writeOutput(output);
|
|
output << "];\n";
|
|
}
|
|
}
|
|
|
|
// Print calibration covariances
|
|
for (calib_covar_t::const_iterator it = calib_covar.begin();
|
|
it != calib_covar.end(); it++)
|
|
{
|
|
const string &name1 = it->first.first;
|
|
const string &name2 = it->first.second;
|
|
const string &weight = it->second.first;
|
|
const expr_t expression = it->second.second;
|
|
|
|
int id1 = symbol_table.getTypeSpecificID(name1) + 1;
|
|
int id2 = symbol_table.getTypeSpecificID(name2) + 1;
|
|
if (symbol_table.getType(name1) == eEndogenous)
|
|
{
|
|
output << "calib_var_index{1} = [calib_var_index{1};" << id1 << "," << id2 << "];\n";
|
|
output << "calib_weights{1} = [calib_weights{1}; " << weight << "];\n";
|
|
output << "calib_targets{1} =[calib_targets{1}; ";
|
|
expression->writeOutput(output);
|
|
output << "];\n";
|
|
}
|
|
else if (symbol_table.getType(name1) == eExogenous)
|
|
{
|
|
output << "calib_var_index{3} = [calib_var_index{3};" << id1 << "," << id2 << "];\n";
|
|
output << "calib_weights{3} = [calib_weights{3}; " << weight << "];\n";
|
|
output << "calib_targets{3} =[calib_targets{3}; ";
|
|
expression->writeOutput(output);
|
|
output << "];\n";
|
|
}
|
|
}
|
|
|
|
// Print calibration autocorrelations
|
|
int max_iar = 3;
|
|
|
|
for (calib_ac_t::const_iterator it = calib_ac.begin();
|
|
it != calib_ac.end(); it++)
|
|
{
|
|
const string &name = it->first.first;
|
|
int iar = it->first.second + 3;
|
|
const string &weight = it->second.first;
|
|
const expr_t expression = it->second.second;
|
|
|
|
int id = symbol_table.getTypeSpecificID(name) + 1;
|
|
|
|
if (iar > max_iar)
|
|
{
|
|
// Create new variables
|
|
for (int i = max_iar + 1; i <= iar; i++)
|
|
{
|
|
output << "calib_var_index{" << i << "} = [];\n";
|
|
output << "calib_targets{" << i << "} = [];\n";
|
|
output << "calib_weights{" << i << "}=[];\n";
|
|
}
|
|
max_iar = iar;
|
|
}
|
|
|
|
output << "calib_var_index{" << iar << "} = [calib_var_index{" << iar << "};" << id << "];\n";
|
|
output << "calib_weights{" << iar << "} = [calib_weights{" << iar << "}; " << weight << "];\n";
|
|
output << "calib_targets{" << iar << "} =[calib_targets{" << iar << "}; ";
|
|
expression->writeOutput(output);
|
|
output << "];\n";
|
|
}
|
|
}
|
|
|
|
CalibStatement::CalibStatement(int covar_arg) : covar(covar_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
CalibStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
output << "M_.Sigma_e=calib(calib_var_index,calib_targets,calib_weights," << covar << ",Sigma_e_);\n";
|
|
}
|
|
|
|
OsrParamsStatement::OsrParamsStatement(const SymbolList &symbol_list_arg) :
|
|
symbol_list(symbol_list_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
OsrParamsStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
symbol_list.writeOutput("osr_params_", output);
|
|
}
|
|
|
|
OsrStatement::OsrStatement(const SymbolList &symbol_list_arg,
|
|
const OptionsList &options_list_arg) :
|
|
symbol_list(symbol_list_arg),
|
|
options_list(options_list_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
OsrStatement::checkPass(ModFileStructure &mod_file_struct)
|
|
{
|
|
mod_file_struct.osr_present = true;
|
|
|
|
// Fill in option_order of mod_file_struct
|
|
OptionsList::num_options_t::const_iterator it = options_list.num_options.find("order");
|
|
if (it != options_list.num_options.end())
|
|
mod_file_struct.order_option = max(mod_file_struct.order_option, atoi(it->second.c_str()));
|
|
|
|
// Fill in mod_file_struct.partial_information
|
|
it = options_list.num_options.find("partial_information");
|
|
if (it != options_list.num_options.end() && it->second == "1")
|
|
mod_file_struct.partial_information = true;
|
|
|
|
// Option k_order_solver (implicit when order >= 3)
|
|
it = options_list.num_options.find("k_order_solver");
|
|
if ((it != options_list.num_options.end() && it->second == "1")
|
|
|| mod_file_struct.order_option >= 3)
|
|
mod_file_struct.k_order_solver = true;
|
|
}
|
|
|
|
void
|
|
OsrStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
options_list.writeOutput(output);
|
|
symbol_list.writeOutput("var_list_", output);
|
|
output << "osr(var_list_,osr_params_,obj_var_,optim_weights_);\n";
|
|
}
|
|
|
|
OptimWeightsStatement::OptimWeightsStatement(const var_weights_t &var_weights_arg,
|
|
const covar_weights_t &covar_weights_arg,
|
|
const SymbolTable &symbol_table_arg) :
|
|
var_weights(var_weights_arg),
|
|
covar_weights(covar_weights_arg),
|
|
symbol_table(symbol_table_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
OptimWeightsStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
output << "%" << endl
|
|
<< "% OPTIM_WEIGHTS" << endl
|
|
<< "%" << endl
|
|
<< "optim_weights_ = sparse(M_.endo_nbr,M_.endo_nbr);" << endl
|
|
<< "obj_var_ = [];" << endl << endl;
|
|
|
|
for (var_weights_t::const_iterator it = var_weights.begin();
|
|
it != var_weights.end(); it++)
|
|
{
|
|
const string &name = it->first;
|
|
const expr_t value = it->second;
|
|
int id = symbol_table.getTypeSpecificID(name) + 1;
|
|
output << "optim_weights_(" << id << "," << id << ") = ";
|
|
value->writeOutput(output);
|
|
output << ";" << endl;
|
|
output << "obj_var_ = [obj_var_; " << id << "];\n";
|
|
}
|
|
|
|
for (covar_weights_t::const_iterator it = covar_weights.begin();
|
|
it != covar_weights.end(); it++)
|
|
{
|
|
const string &name1 = it->first.first;
|
|
const string &name2 = it->first.second;
|
|
const expr_t value = it->second;
|
|
int id1 = symbol_table.getTypeSpecificID(name1) + 1;
|
|
int id2 = symbol_table.getTypeSpecificID(name2) + 1;
|
|
output << "optim_weights_(" << id1 << "," << id2 << ") = ";
|
|
value->writeOutput(output);
|
|
output << ";" << endl;
|
|
output << "obj_var_ = [obj_var_; " << id1 << "; " << id2 << "];\n";
|
|
}
|
|
}
|
|
|
|
DynaSaveStatement::DynaSaveStatement(const SymbolList &symbol_list_arg,
|
|
const string &filename_arg) :
|
|
symbol_list(symbol_list_arg),
|
|
filename(filename_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
DynaSaveStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
symbol_list.writeOutput("var_list_", output);
|
|
output << "dynasave('" << filename
|
|
<< "',var_list_);" << endl;
|
|
}
|
|
|
|
DynaTypeStatement::DynaTypeStatement(const SymbolList &symbol_list_arg,
|
|
const string &filename_arg) :
|
|
symbol_list(symbol_list_arg),
|
|
filename(filename_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
DynaTypeStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
symbol_list.writeOutput("var_list_", output);
|
|
output << "dynatype('" << filename
|
|
<< "',var_list_);" << endl;
|
|
}
|
|
|
|
ModelComparisonStatement::ModelComparisonStatement(const filename_list_t &filename_list_arg,
|
|
const OptionsList &options_list_arg) :
|
|
filename_list(filename_list_arg),
|
|
options_list(options_list_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
ModelComparisonStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
options_list.writeOutput(output);
|
|
|
|
output << "ModelNames_ = {};" << endl;
|
|
output << "ModelPriors_ = [];" << endl;
|
|
|
|
for (filename_list_t::const_iterator it = filename_list.begin();
|
|
it != filename_list.end(); it++)
|
|
{
|
|
output << "ModelNames_ = { ModelNames_{:} '" << (*it).first << "'};" << endl;
|
|
output << "ModelPriors_ = [ ModelPriors_ ; " << (*it).second << "];" << endl;
|
|
}
|
|
output << "model_comparison(ModelNames_,ModelPriors_,oo_,options_,M_.fname);" << endl;
|
|
}
|
|
|
|
PlannerObjectiveStatement::PlannerObjectiveStatement(StaticModel *model_tree_arg) :
|
|
model_tree(model_tree_arg)
|
|
{
|
|
}
|
|
|
|
PlannerObjectiveStatement::~PlannerObjectiveStatement()
|
|
{
|
|
delete model_tree;
|
|
}
|
|
|
|
void
|
|
PlannerObjectiveStatement::checkPass(ModFileStructure &mod_file_struct)
|
|
{
|
|
assert(model_tree->equation_number() == 1);
|
|
}
|
|
|
|
void
|
|
PlannerObjectiveStatement::computingPass()
|
|
{
|
|
model_tree->computingPass(eval_context_t(), false, true, false, false);
|
|
}
|
|
|
|
void
|
|
PlannerObjectiveStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
model_tree->writeStaticFile(basename + "_objective", false, false);
|
|
}
|
|
|
|
BVARDensityStatement::BVARDensityStatement(int maxnlags_arg, const OptionsList &options_list_arg) :
|
|
maxnlags(maxnlags_arg),
|
|
options_list(options_list_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
BVARDensityStatement::checkPass(ModFileStructure &mod_file_struct)
|
|
{
|
|
mod_file_struct.bvar_present = true;
|
|
}
|
|
|
|
void
|
|
BVARDensityStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
options_list.writeOutput(output);
|
|
output << "bvar_density(" << maxnlags << ");" << endl;
|
|
}
|
|
|
|
BVARForecastStatement::BVARForecastStatement(int nlags_arg, const OptionsList &options_list_arg) :
|
|
nlags(nlags_arg),
|
|
options_list(options_list_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
BVARForecastStatement::checkPass(ModFileStructure &mod_file_struct)
|
|
{
|
|
mod_file_struct.bvar_present = true;
|
|
}
|
|
|
|
void
|
|
BVARForecastStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
options_list.writeOutput(output);
|
|
output << "bvar_forecast(" << nlags << ");" << endl;
|
|
}
|
|
|
|
SBVARStatement::SBVARStatement(const OptionsList &options_list_arg) :
|
|
options_list(options_list_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
SBVARStatement::checkPass(ModFileStructure &mod_file_struct)
|
|
{
|
|
mod_file_struct.bvar_present = true;
|
|
}
|
|
|
|
void
|
|
SBVARStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
options_list.writeOutput(output);
|
|
output << "swz_sbvar(0,M_,options_);" << endl;
|
|
}
|
|
|
|
MS_SBVARStatement::MS_SBVARStatement(const OptionsList &options_list_arg) :
|
|
options_list(options_list_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
MS_SBVARStatement::checkPass(ModFileStructure &mod_file_struct)
|
|
{
|
|
mod_file_struct.bvar_present = true;
|
|
}
|
|
|
|
void
|
|
MS_SBVARStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
options_list.writeOutput(output);
|
|
output << "swz_sbvar(1,M_,options_);" << endl;
|
|
}
|
|
|
|
IdentificationStatement::IdentificationStatement(const OptionsList &options_list_arg) :
|
|
options_list(options_list_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
IdentificationStatement::checkPass(ModFileStructure &mod_file_struct)
|
|
{
|
|
mod_file_struct.identification_present = true;
|
|
}
|
|
|
|
void
|
|
IdentificationStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
options_list.writeOutput(output, "options_ident");
|
|
output << "dynare_identification(options_ident);" << endl;
|
|
}
|
|
|
|
WriteLatexDynamicModelStatement::WriteLatexDynamicModelStatement(const DynamicModel &dynamic_model_arg) :
|
|
dynamic_model(dynamic_model_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
WriteLatexDynamicModelStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
dynamic_model.writeLatexFile(basename);
|
|
}
|
|
|
|
WriteLatexStaticModelStatement::WriteLatexStaticModelStatement(const StaticModel &static_model_arg) :
|
|
static_model(static_model_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
WriteLatexStaticModelStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
static_model.writeLatexFile(basename);
|
|
}
|
|
|
|
ShockDecompositionStatement::ShockDecompositionStatement(const SymbolList &symbol_list_arg,
|
|
const OptionsList &options_list_arg) :
|
|
symbol_list(symbol_list_arg),
|
|
options_list(options_list_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
ShockDecompositionStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
options_list.writeOutput(output);
|
|
symbol_list.writeOutput("var_list_", output);
|
|
output << "oo_ = shock_decomposition(M_,oo_,options_,var_list_);\n";
|
|
}
|
|
|
|
ConditionalForecastStatement::ConditionalForecastStatement(const OptionsList &options_list_arg) :
|
|
options_list(options_list_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
ConditionalForecastStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
options_list.writeOutput(output, "options_cond_fcst_");
|
|
output << "imcforecast(constrained_paths_, constrained_vars_, options_cond_fcst_);" << endl;
|
|
}
|
|
|
|
PlotConditionalForecastStatement::PlotConditionalForecastStatement(int periods_arg, const SymbolList &symbol_list_arg) :
|
|
periods(periods_arg),
|
|
symbol_list(symbol_list_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
PlotConditionalForecastStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
symbol_list.writeOutput("var_list_", output);
|
|
if (periods == -1)
|
|
output << "plot_icforecast(var_list_);" << endl;
|
|
else
|
|
output << "plot_icforecast(var_list_, " << periods << ");" << endl;
|
|
}
|
|
|
|
SvarIdentificationStatement::SvarIdentificationStatement(const svar_identification_exclusion_t &exclusion_arg,
|
|
const bool &upper_cholesky_present_arg,
|
|
const bool &lower_cholesky_present_arg,
|
|
const SymbolTable &symbol_table_arg) :
|
|
exclusion(exclusion_arg),
|
|
upper_cholesky_present(upper_cholesky_present_arg),
|
|
lower_cholesky_present(lower_cholesky_present_arg),
|
|
symbol_table(symbol_table_arg)
|
|
{
|
|
}
|
|
|
|
int
|
|
SvarIdentificationStatement::getMaxLag() const
|
|
{
|
|
int max_lag = 0;
|
|
for (svar_identification_exclusion_t::const_iterator it = exclusion.begin(); it != exclusion.end(); it++)
|
|
if (it->first.first > max_lag)
|
|
max_lag = it->first.first;
|
|
|
|
return max_lag;
|
|
}
|
|
|
|
void
|
|
SvarIdentificationStatement::checkPass(ModFileStructure &mod_file_struct)
|
|
{
|
|
if (!mod_file_struct.svar_identification_present)
|
|
mod_file_struct.svar_identification_present = true;
|
|
else
|
|
{
|
|
cerr << "ERROR: You may only have one svar_identification block in your .mod file." << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
}
|
|
|
|
void
|
|
SvarIdentificationStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
if (upper_cholesky_present && lower_cholesky_present)
|
|
{
|
|
cerr << "SvarIdentificationStatement::writeOutput() Should not arrive here (1). Please report this to the Dynare Team." << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
|
|
output << "%" << endl
|
|
<< "% SVAR IDENTIFICATION" << endl
|
|
<< "%" << endl;
|
|
|
|
if (upper_cholesky_present)
|
|
output << "options_.ms.upper_cholesky=1;" << endl;
|
|
|
|
if (lower_cholesky_present)
|
|
output << "options_.ms.lower_cholesky=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;
|
|
|
|
if (k < 1)
|
|
{
|
|
cerr << "ERROR: lag = " << r
|
|
<< ", number of endogenous variables = " << n
|
|
<< ", number of exogenous variables = " << m
|
|
<< ". If this is not a logical error in the specification"
|
|
<< " of the .mod file, please report it to the Dynare Team." << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
if (n < 1)
|
|
{
|
|
cerr << "ERROR: Number of endogenous variables = " << n << "< 1. If this is not a logical "
|
|
<< "error in the specification of the .mod file, please report it to the Dynare Team." << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
output << "options_.ms.Qi = zeros(" << n << ", " << n << ", " << n << ");" << endl;
|
|
output << "options_.ms.Ri = zeros(" << k << ", " << k << ", " << n << ");" << endl;
|
|
|
|
for (svar_identification_exclusion_t::const_iterator it = exclusion.begin(); it != exclusion.end(); it++)
|
|
{
|
|
for (unsigned int h = 0; h < it->second.size(); h++)
|
|
{
|
|
int j = it->second.at(h) + 1;
|
|
int i = it->first.second;
|
|
if (j < 1 || j > n || (int) h+1 > n || i < 1)
|
|
{
|
|
cerr << "SvarIdentificationStatement::writeOutput() Should not arrive here (2). Please report this to the Dynare Team." << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
if (i > n)
|
|
{
|
|
cerr << "ERROR: equation number " << i << " is greater than the number of endogenous variables, " << n << "." << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
|
|
if (it->first.first == 0)
|
|
output << "options_.ms.Qi(" << h+1 << ", " << j << ", "<< i << ") = 1;" << endl;
|
|
else if (it->first.first > 0)
|
|
{
|
|
if ((it->first.first-1)*n+j > k)
|
|
{
|
|
cerr << "ERROR: lag =" << it->first.first << ", num endog vars = " << n << "current endog var index = " << j << ". Index "
|
|
<< "out of bounds. If the above does not represent a logical error, please report this to the Dyanre Team." << endl;
|
|
}
|
|
output << "options_.ms.Ri(" << h+1 << ", " << (it->first.first-1)*n+j << ", "<< i << ") = 1;" << endl;
|
|
}
|
|
else
|
|
{
|
|
cerr << "SvarIdentificationStatement::writeOutput() Should not arrive here (3). Please report this to the Dynare Team." << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
MarkovSwitchingStatement::MarkovSwitchingStatement(const OptionsList &options_list_arg) :
|
|
options_list(options_list_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
MarkovSwitchingStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
OptionsList::num_options_t::const_iterator itChain, itState, itNOS, itDuration;
|
|
|
|
itChain = options_list.num_options.find("ms.chain");
|
|
if (itChain == options_list.num_options.end())
|
|
{
|
|
cerr << "MarkovSwitchingStatement::writeOutput() Should not arrive here (1). Please report this to the Dynare Team." << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
|
|
itDuration = options_list.num_options.find("ms.duration");
|
|
if (itDuration == options_list.num_options.end())
|
|
{
|
|
cerr << "MarkovSwitchingStatement::writeOutput() Should not arrive here (2). Please report this to the Dynare Team." << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
|
|
itState = options_list.num_options.find("ms.state");
|
|
itNOS = options_list.num_options.find("ms.number_of_states");
|
|
if (itState != options_list.num_options.end()
|
|
&& itNOS == options_list.num_options.end())
|
|
output << "options_.ms.ms_chain(" << itChain->second << ").state(" << itState->second << ").duration = " << itDuration->second << ";" << endl;
|
|
else if (itState == options_list.num_options.end()
|
|
&& itNOS != options_list.num_options.end())
|
|
for (int i = 0; i < atoi(itNOS->second.c_str()); i++)
|
|
output << "options_.ms.ms_chain(" << itChain->second << ").state(" << i+1 << ").duration = " << itDuration->second << ";" << endl;
|
|
else
|
|
{
|
|
cerr << "MarkovSwitchingStatement::writeOutput() Should not arrive here (3). Please report this to the Dynare Team." << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
}
|
|
|
|
SvarStatement::SvarStatement(const OptionsList &options_list_arg) :
|
|
options_list(options_list_arg)
|
|
{
|
|
}
|
|
|
|
void
|
|
SvarStatement::writeOutput(ostream &output, const string &basename) const
|
|
{
|
|
OptionsList::num_options_t::const_iterator it0, it1, it2;
|
|
OptionsList::vec_int_options_t::const_iterator itv;
|
|
|
|
it0 = options_list.num_options.find("ms.chain");
|
|
if (it0 != options_list.num_options.end())
|
|
output << "options_.ms.ms_chain(" << it0->second << ")";
|
|
else
|
|
{
|
|
cerr << "SvarStatement::writeOutput() Should not arrive here (1). Please report this to the Dynare Team." << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
|
|
it0 = options_list.string_options.find("ms.coefficients");
|
|
it1 = options_list.string_options.find("ms.variances");
|
|
it2 = options_list.string_options.find("ms.constants");
|
|
if (it0 != options_list.string_options.end()
|
|
&& it1 == options_list.string_options.end()
|
|
&& it2 == options_list.string_options.end())
|
|
output << "." << it0->second;
|
|
else if (it0 == options_list.string_options.end()
|
|
&& it1 != options_list.string_options.end()
|
|
&& it2 == options_list.string_options.end())
|
|
output << "." << it1->second;
|
|
else if (it0 == options_list.string_options.end()
|
|
&& it1 == options_list.string_options.end()
|
|
&& it2 != options_list.string_options.end())
|
|
output << "." << it2->second;
|
|
else
|
|
{
|
|
cerr << "SvarStatement::writeOutput() Should not arrive here (2). Please report this to the Dynare Team." << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
|
|
itv = options_list.vector_int_options.find("ms.equations");
|
|
output << ".equations = ";
|
|
if (itv != options_list.vector_int_options.end())
|
|
{
|
|
if (itv->second.size() > 1)
|
|
{
|
|
output << "[";
|
|
for (vector<int>::const_iterator viit = itv->second.begin();
|
|
viit != itv->second.end(); viit++)
|
|
output << *viit << ";";
|
|
output << "];" << endl;
|
|
}
|
|
else if (itv->second.size() == 1)
|
|
output << itv->second.front() << ";" << endl;
|
|
else
|
|
{
|
|
cerr << "SvarStatement::writeOutput() Should not arrive here (3). Please report this to the Dynare Team." << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
}
|
|
else
|
|
output << "'ALL';" << endl;
|
|
}
|