Commit 38824dc1 authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

Implement tags [static] and [dynamic] for equations

Closes #307
parent 15f3294b
......@@ -183,6 +183,7 @@ Steady state
* Finding the steady state with Dynare nonlinear solver::
* Using a steady state file::
* Replace some equations during steady state computations::
Stochastic solution and simulation
......@@ -2329,6 +2330,7 @@ providing it with a ``steady state file''.
@menu
* Finding the steady state with Dynare nonlinear solver::
* Using a steady state file::
* Replace some equations during steady state computations::
@end menu
@node Finding the steady state with Dynare nonlinear solver
......@@ -2677,6 +2679,50 @@ steady;
@end deffn
@node Replace some equations during steady state computations
@subsection Replace some equations during steady state computations
When there is no steady state file, Dynare computes the steady state
by solving the static model, @i{i.e.} the model from the @file{.mod}
file from which leads and lags have been removed.
In some specific cases, one may want to have more control over the way
this static model is created. Dynare therefore offers the possibility
to explicitly give the form of equations that should be in the static
model.
More precisely, if an equation is prepended by a @code{[static]} tag,
then it will appear in the static model used for steady state
computation, but that equation will not be used for other
computations. For every equation tagged in this way, you must tag
another equation with @code{[dynamic]}: that equation will not be used
for steady state computation, but will be used for other computations.
This functionality can be useful on models with a unit root, where
there is an infinity of steady states. An equation (tagged
@code{[dynamic]}) would give the law of motion of the nonstationary
variable (like a random walk). To pin down one specific steady state,
an equation tagged @code{[static]} would affect a constant value to
the nonstationary variable.
@examplehead
This is a trivial example with two endogenous variables. The second equation
takes a different form in the static model.
@example
var c k;
varexo x;
@dots{}
model;
c + k - aa*x*k(-1)^alph - (1-delt)*k(-1);
[dynamic] c^(-gam) - (1+bet)^(-1)*(aa*alph*x(+1)*k^(alph-1) + 1 - delt)*c(+1)^(-gam);
[static] k = ((delt+bet)/(x*aa*alph))^(1/(alph-1));
end;
@end example
@node Getting information about the model
@section Getting information about the model
......
......@@ -22,7 +22,7 @@ function [ys,params,info] = evaluate_steady_state(ys_init,M,options,oo,steadysta
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2001-2012 Dynare Team
% Copyright (C) 2001-2013 Dynare Team
%
% This file is part of Dynare.
%
......@@ -97,6 +97,31 @@ function [ys,params,info] = evaluate_steady_state(ys_init,M,options,oo,steadysta
return
end
% If some equations are tagged [static] or [dynamic], verify consistency
if M.static_and_dynamic_models_differ
% Evaluate residual of *dynamic* model using the steady state
% computed on the *static* one
z = repmat(ys,1,M.maximum_lead + M.maximum_lag + 1);
zx = repmat([oo.exo_simul oo.exo_det_simul],M.maximum_lead + M.maximum_lag + 1, 1);
if options.bytecode
[chck, r, junk]= bytecode('dynamic','evaluate', z, zx, M.params, ys, 1);
mexErrCheck('bytecode', chck);
elseif options.block
[r, data] = feval([M.fname '_dynamic'], z', zx, M.params, ys, M.maximum_lag+1, data);
else
iyv = M.lead_lag_incidence';
iyr0 = find(iyv(:));
xys = z(iyr0);
r = feval([M.fname '_dynamic'], z(iyr0), zx, M.params, ys, M.maximum_lag + 1);
end
% Fail if residual greater than tolerance
if max(abs(r)) > options.solve_tolf
info(1) = 25;
return
end
end
if ~isreal(ys)
info(1) = 21;
info(2) = sum(imag(ys).^2);
......
......@@ -10,7 +10,7 @@ function print_info(info,noprint)
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2005-2012 Dynare Team
% Copyright (C) 2005-2013 Dynare Team
%
% This file is part of Dynare.
%
......@@ -78,6 +78,8 @@ if ~noprint
error('Some updated params are complex')
case 24
error('Some updated params contain NaN or Inf')
case 25
error('The solution to the static equations is not a steady state of the dynamic model: verify that the equations tagged by [static] and [dynamic] are consistent')
case 30
error('Variance can''t be computed')
case 41
......
......@@ -2354,6 +2354,12 @@ DynamicModel::writeOutput(ostream &output, const string &basename, bool block_de
<< equation_tags[i].second.second << "' ;" << endl;
output << "};" << endl;
/* Say if static and dynamic models differ (because of [static] and [dynamic]
equation tags) */
output << "M_.static_and_dynamic_models_differ = "
<< (static_only_equations.size() > 0 ? "1" : "0")
<< ";" << endl;
//In case of sparse model, writes the block_decomposition structure of the model
if (block_decomposition)
{
......@@ -3403,6 +3409,11 @@ DynamicModel::cloneDynamic(DynamicModel &dynamic_model) const
for (deque<BinaryOpNode *>::const_iterator it = aux_equations.begin();
it != aux_equations.end(); it++)
dynamic_model.addAuxEquation((*it)->cloneDynamic(dynamic_model));
// Convert static_only equations
for (vector<BinaryOpNode *>::const_iterator it = static_only_equations.begin();
it != static_only_equations.end(); it++)
dynamic_model.addStaticOnlyEquation((*it)->cloneDynamic(dynamic_model));
}
void
......@@ -3506,9 +3517,28 @@ DynamicModel::toStatic(StaticModel &static_model) const
static_model.AddLocalVariable(it->first, it->second->toStatic(static_model));
// Convert equations
for (vector<BinaryOpNode *>::const_iterator it = equations.begin();
it != equations.end(); it++)
static_model.addEquation((*it)->toStatic(static_model));
int static_only_index = 0;
for (int i = 0; i < (int) equations.size(); i++)
{
// Detect if equation is marked [dynamic]
bool is_dynamic_only = false;
for (vector<pair<int, pair<string, string> > >::const_iterator it = equation_tags.begin();
it != equation_tags.end(); ++it)
if (it->first == i && it->second.first == "dynamic")
{
is_dynamic_only = true;
break;
}
// If yes, replace it by an equation marked [static]
if (is_dynamic_only)
{
static_model.addEquation(static_only_equations[static_only_index]->toStatic(static_model));
static_only_index++;
}
else
static_model.addEquation(equations[i]->toStatic(static_model));
}
// Convert auxiliary equations
for (deque<BinaryOpNode *>::const_iterator it = aux_equations.begin();
......@@ -4150,3 +4180,32 @@ DynamicModel::isModelLocalVariableUsed() const
}
return used_local_vars.size() > 0;
}
void
DynamicModel::addStaticOnlyEquation(expr_t eq)
{
BinaryOpNode *beq = dynamic_cast<BinaryOpNode *>(eq);
assert(beq != NULL && beq->get_op_code() == oEqual);
static_only_equations.push_back(beq);
}
size_t
DynamicModel::staticOnlyEquationsNbr() const
{
return static_only_equations.size();
}
size_t
DynamicModel::dynamicOnlyEquationsNbr() const
{
set<int> eqs;
for (vector<pair<int, pair<string, string> > >::const_iterator it = equation_tags.begin();
it != equation_tags.end(); ++it)
if (it->second.first == "dynamic")
eqs.insert(it->first);
return eqs.size();
}
......@@ -31,6 +31,10 @@ using namespace std;
class DynamicModel : public ModelTree
{
private:
//! Stores equations declared as [static]
/*! They will be used in toStatic() to replace equations marked as [dynamic] */
vector<BinaryOpNode *> static_only_equations;
typedef map<pair<int, int>, int> deriv_id_table_t;
//! Maps a pair (symbol_id, lag) to a deriv ID
deriv_id_table_t deriv_id_table;
......@@ -224,6 +228,15 @@ public:
//! Replaces the model equations in dynamic_model with those in this model
void replaceMyEquations(DynamicModel &dynamic_model) const;
//! Adds an equation marked as [static]
void addStaticOnlyEquation(expr_t eq);
//! Returns number of static only equations
size_t staticOnlyEquationsNbr() const;
//! Returns number of dynamic only equations
size_t dynamicOnlyEquationsNbr() const;
//! Writes LaTeX file with the equations of the dynamic model
void writeLatexFile(const string &basename) const;
......
......@@ -603,6 +603,8 @@ tags_list : tags_list COMMA tag_pair
tag_pair : NAME EQUAL QUOTED_STRING
{ driver.add_equation_tags($1, $3); }
| NAME
{ driver.add_equation_tags($1, new string()); }
;
hand_side : '(' hand_side ')'
......
......@@ -469,6 +469,12 @@ NumConstNode::removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const
return const_cast<NumConstNode *>(this);
}
bool
NumConstNode::isInStaticForm() const
{
return true;
}
VariableNode::VariableNode(DataTree &datatree_arg, int symb_id_arg, int lag_arg) :
ExprNode(datatree_arg),
symb_id(symb_id_arg),
......@@ -1314,6 +1320,12 @@ VariableNode::removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const
}
}
bool
VariableNode::isInStaticForm() const
{
return lag == 0;
}
UnaryOpNode::UnaryOpNode(DataTree &datatree_arg, UnaryOpcode op_code_arg, const expr_t arg_arg, int expectation_information_set_arg, int param1_symb_id_arg, int param2_symb_id_arg) :
ExprNode(datatree_arg),
arg(arg_arg),
......@@ -2322,6 +2334,17 @@ UnaryOpNode::removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const
return buildSimilarUnaryOpNode(argsubst, datatree);
}
bool
UnaryOpNode::isInStaticForm() const
{
if (op_code == oSteadyState || op_code == oSteadyStateParamDeriv
|| op_code == oSteadyStateParam2ndDeriv
|| op_code == oExpectation)
return false;
else
return arg->isInStaticForm();
}
BinaryOpNode::BinaryOpNode(DataTree &datatree_arg, const expr_t arg1_arg,
BinaryOpcode op_code_arg, const expr_t arg2_arg) :
ExprNode(datatree_arg),
......@@ -3558,6 +3581,12 @@ BinaryOpNode::removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const
return buildSimilarBinaryOpNode(arg1subst, arg2subst, datatree);
}
bool
BinaryOpNode::isInStaticForm() const
{
return arg1->isInStaticForm() && arg2->isInStaticForm();
}
TrinaryOpNode::TrinaryOpNode(DataTree &datatree_arg, const expr_t arg1_arg,
TrinaryOpcode op_code_arg, const expr_t arg2_arg, const expr_t arg3_arg) :
ExprNode(datatree_arg),
......@@ -4155,6 +4184,12 @@ TrinaryOpNode::removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const
return buildSimilarTrinaryOpNode(arg1subst, arg2subst, arg3subst, datatree);
}
bool
TrinaryOpNode::isInStaticForm() const
{
return arg1->isInStaticForm() && arg2->isInStaticForm() && arg3->isInStaticForm();
}
ExternalFunctionNode::ExternalFunctionNode(DataTree &datatree_arg,
int symb_id_arg,
const vector<expr_t> &arguments_arg) :
......@@ -4732,6 +4767,16 @@ ExternalFunctionNode::removeTrendLeadLag(map<int, expr_t> trend_symbols_map) con
return buildSimilarExternalFunctionNode(arguments_subst, datatree);
}
bool
ExternalFunctionNode::isInStaticForm() const
{
for (vector<expr_t>::const_iterator it = arguments.begin(); it != arguments.end(); ++it)
if (!(*it)->isInStaticForm())
return false;
return true;
}
FirstDerivExternalFunctionNode::FirstDerivExternalFunctionNode(DataTree &datatree_arg,
int top_level_symb_id_arg,
const vector<expr_t> &arguments_arg,
......
/*
* Copyright (C) 2007-2012 Dynare Team
* Copyright (C) 2007-2013 Dynare Team
*
* This file is part of Dynare.
*
......@@ -393,6 +393,9 @@ public:
//! Move a trend variable with lag/lead to time t by dividing/multiplying by its growth factor
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const = 0;
//! Returns true if the expression is in static form (no lead, no lag, no expectation, no STEADY_STATE)
virtual bool isInStaticForm() const = 0;
};
//! Object used to compare two nodes (using their indexes)
......@@ -448,6 +451,7 @@ public:
virtual expr_t detrend(int symb_id, bool log_trend, expr_t trend) const;
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
};
//! Symbol or variable node
......@@ -508,6 +512,7 @@ public:
virtual expr_t detrend(int symb_id, bool log_trend, expr_t trend) const;
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
};
//! Unary operator node
......@@ -583,6 +588,7 @@ public:
virtual expr_t detrend(int symb_id, bool log_trend, expr_t trend) const;
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
};
//! Binary operator node
......@@ -677,6 +683,7 @@ public:
expr_t addMultipliersToConstraints(int i);
//! Returns the non-zero hand-side of an equation (that must have a hand side equal to zero)
expr_t getNonZeroPartofEquation() const;
virtual bool isInStaticForm() const;
};
//! Trinary operator node
......@@ -739,6 +746,7 @@ public:
virtual expr_t detrend(int symb_id, bool log_trend, expr_t trend) const;
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
};
//! External function node
......@@ -812,6 +820,7 @@ public:
virtual expr_t detrend(int symb_id, bool log_trend, expr_t trend) const;
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
};
class FirstDerivExternalFunctionNode : public ExternalFunctionNode
......
......@@ -236,6 +236,19 @@ ModFile::checkPass()
<< "(deprecated) or the dsge_var option must be passed to the estimation statement (preferred)." << endl;
exit(EXIT_FAILURE);
}
if (dynamic_model.staticOnlyEquationsNbr() != dynamic_model.dynamicOnlyEquationsNbr())
{
cerr << "ERROR: the number of equations marked [static] must be equal to the number of equations marked [dynamic]" << endl;
exit(EXIT_FAILURE);
}
if (dynamic_model.staticOnlyEquationsNbr() > 0 &&
(mod_file_struct.ramsey_policy_present || mod_file_struct.discretionary_policy_present))
{
cerr << "ERROR: marking equations as [static] or [dynamic] is not possible with ramsey_policy or discretionary_policy" << endl;
exit(EXIT_FAILURE);
}
}
void
......
......@@ -1385,9 +1385,12 @@ ModelTree::addEquation(expr_t eq)
}
void
ModelTree::addEquationTags(int i, const string &key, const string &value)
ModelTree::addEquation(expr_t eq, vector<pair<string, string> > &eq_tags)
{
equation_tags.push_back(make_pair(i, make_pair(key, value)));
int n = equation_number();
for (size_t i = 0; i < eq_tags.size(); i++)
equation_tags.push_back(make_pair(n, eq_tags[i]));
addEquation(eq);
}
void
......
......@@ -297,8 +297,8 @@ public:
int mfs;
//! Declare a node as an equation of the model
void addEquation(expr_t eq);
//! Adds tags to equation number i
void addEquationTags(int i, const string &key, const string &value);
//! Declare a node as an equation of the model, also giving its tags
void addEquation(expr_t eq, vector<pair<string, string> > &eq_tags);
//! Declare a node as an auxiliary equation of the model, adding it at the end of the list of auxiliary equations
void addAuxEquation(expr_t eq);
//! Returns the number of equations in the model
......
......@@ -249,8 +249,7 @@ ParsingDriver::add_predetermined_variable(string *name)
void
ParsingDriver::add_equation_tags(string *key, string *value)
{
int n = model_tree->equation_number();
model_tree->addEquationTags(n, *key, *value);
eq_tags.push_back(make_pair(*key, *value));
delete key;
delete value;
}
......@@ -1933,7 +1932,28 @@ expr_t
ParsingDriver::add_model_equal(expr_t arg1, expr_t arg2)
{
expr_t id = model_tree->AddEqual(arg1, arg2);
model_tree->addEquation(id);
// Detect if the equation is tagged [static]
bool is_static_only = false;
for (vector<pair<string, string> >::const_iterator it = eq_tags.begin();
it != eq_tags.end(); ++it)
if (it->first == "static")
{
is_static_only = true;
break;
}
if (is_static_only)
{
if (!id->isInStaticForm())
error("An equation tagged [static] cannot contain leads, lags, expectations or STEADY_STATE operators");
dynamic_model->addStaticOnlyEquation(id);
}
else
model_tree->addEquation(id, eq_tags);
eq_tags.clear();
return id;
}
......
......@@ -201,6 +201,8 @@ private:
expr_t add_model_variable(int symb_id, int lag);
//! For parsing the graph_format option
SymbolList graph_formats;
//! Temporary storage for equation tags
vector<pair<string, string> > eq_tags;
//! The mod file representation constructed by this ParsingDriver
ModFile *mod_file;
......
......@@ -6,6 +6,7 @@ MODFILES = \
gsa/ls2003.mod \
ramst.mod \
ramst_a.mod \
ramst_static_tag.mod \
example1.mod \
example2.mod \
example1_use_dll.mod \
......
var c k;
varexo x;
parameters alph gam delt bet aa;
alph=0.5;
gam=0.5;
delt=0.02;
bet=0.05;
aa=0.5;
model;
c + k - aa*x*k(-1)^alph - (1-delt)*k(-1);
[dynamic] c^(-gam) - (1+bet)^(-1)*(aa*alph*x(+1)*k^(alph-1) + 1 - delt)*c(+1)^(-gam);
[static] k = ((delt+bet)/(x*aa*alph))^(1/(alph-1));
end;
initval;
x = 1;
k = ((delt+bet)/(1.0*aa*alph))^(1/(alph-1));
c = aa*k^alph-delt*k;
end;
steady;
check;
shocks;
var x;
periods 1;
values 1.2;
end;
simul(periods=200);
rplot c;
rplot k;
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