Commit 4a252d8d authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

Histval block:

- fail when user tries to initialize a variable at a period which is not in the model, and make the error message explicit
- correctly handle exogenous variables in stochastic mode, which are also substituted with an aux var
- added test files
parent 7f59b807
......@@ -596,3 +596,14 @@ DataTree::isSecondDerivExternalFunctionUsed(int symb_id) const
return false;
}
int
DataTree::minLagForSymbol(int symb_id) const
{
int r = 0;
for (variable_node_map_t::const_iterator it = variable_node_map.begin();
it != variable_node_map.end(); ++it)
if (it->first.first == symb_id && it->first.second < r)
r = it->first.second;
return r;
}
......@@ -208,6 +208,9 @@ public:
bool isFirstDerivExternalFunctionUsed(int symb_id) const;
//! Checks if a given second derivative external function is used somewhere in the data tree
bool isSecondDerivExternalFunctionUsed(int symb_id) const;
//! Returns the minimum lag (as a negative number) of the given symbol in the whole data tree (and not only in the equations !!)
/*! Returns 0 if the symbol is not used */
int minLagForSymbol(int symb_id) const;
//! Thrown when trying to access an unknown variable by deriv_id
class UnknownDerivIDException
{
......
......@@ -193,21 +193,27 @@ HistValStatement::writeOutput(ostream &output, const string &basename) const
const expr_t expression = it->second;
SymbolType type = symbol_table.getType(symb_id);
if (type == eEndogenous && lag < 0)
{
const int new_symb_id = symbol_table.searchAuxiliaryVars(symb_id,lag);
if (new_symb_id != -1)
{
symb_id = new_symb_id;
lag = 0;
}
else if (symbol_table.AuxVarsSize() > 0)
{
cerr << "Histval: this variable doesn't exist with such a lag in the model" << endl;
exit(EXIT_FAILURE);
}
}
// For a lag greater than 1, lookup for auxiliary variable
if ((type == eEndogenous || type == eExogenous) && lag < 0)
{
try
{
symb_id = symbol_table.searchAuxiliaryVars(symb_id, lag);
lag = 0;
}
catch (SymbolTable::SearchFailedException &e)
{
if (type == eEndogenous)
{
cerr << "HISTVAL: internal error of Dynare, please contact the developers";
exit(EXIT_FAILURE);
}
// We don't fail for exogenous, because they are not replaced by
// auxiliary variables in deterministic mode.
}
}
int tsid = symbol_table.getTypeSpecificID(symb_id) + 1;
if (type == eEndogenous)
......
......@@ -21,6 +21,7 @@
#include <fstream>
#include <iostream>
#include <cassert>
#include <sstream>
#include "ParsingDriver.hh"
#include "Statement.hh"
......@@ -392,11 +393,18 @@ ParsingDriver::hist_val(string *name, string *lag, expr_t rhs)
if (type != eEndogenous
&& type != eExogenous
&& type != eExogenousDet)
error("hist_val: " + *name + " should be an endogenous or exogenous variable");
error("histval: " + *name + " should be an endogenous or exogenous variable");
int ilag = atoi(lag->c_str());
pair<int, int> key(symb_id, ilag);
if (mod_file->dynamic_model.minLagForSymbol(symb_id) > ilag - 1)
{
ostringstream s;
s << ilag-1;
error("histval: variable " + *name + " does not appear in the model with the lag " + s.str() + " (see the reference manual for the timing convention in 'histval')");
}
if (hist_values.find(key) != hist_values.end())
error("hist_val: (" + *name + ", " + *lag + ") declared twice");
......
......@@ -368,13 +368,13 @@ SymbolTable::addExpectationAuxiliaryVar(int information_set, int index, const st
}
int
SymbolTable::searchAuxiliaryVars(int orig_symb_id, int orig_lead_lag) const
SymbolTable::searchAuxiliaryVars(int orig_symb_id, int orig_lead_lag) const throw (SearchFailedException)
{
for (int i=0; i < aux_vars.size();++i)
for (size_t i = 0; i < aux_vars.size(); i++)
if ((aux_vars[i].get_type() == avEndoLag || aux_vars[i].get_type() == avExoLag)
&& aux_vars[i].get_orig_symb_id() == orig_symb_id && aux_vars[i].get_orig_lead_lag() == orig_lead_lag)
return aux_vars[i].get_symb_id();
return -1;
throw SearchFailedException(orig_symb_id, orig_lead_lag);
}
void
......
......@@ -47,8 +47,8 @@ class AuxVarInfo
private:
int symb_id; //!< Symbol ID of the auxiliary variable
aux_var_t type; //!< Its type
int orig_symb_id; //!< Symbol ID of the endo of the original model represented by this aux var. Not used for avEndoLead
int orig_lead_lag; //!< Lead/lag of the endo of the original model represented by this aux var. Not used for avEndoLead
int orig_symb_id; //!< Symbol ID of the endo of the original model represented by this aux var. Only used for avEndoLag and avExoLag.
int orig_lead_lag; //!< Lead/lag of the endo of the original model represented by this aux var. Only used for avEndoLag and avExoLag.
string expectation_information_set_name; //!< Stores 'full' or 'varobs' for avExpectationRIS. Not used otherwise.
public:
AuxVarInfo(int symb_id_arg, aux_var_t type_arg, int orig_symb_id, int orig_lead_lag, string expectation_information_set_name_arg);
......@@ -161,6 +161,16 @@ public:
class NotYetFrozenException
{
};
//! Thrown when searchAuxiliaryVars() failed
class SearchFailedException
{
public:
int orig_symb_id, orig_lead_lag;
SearchFailedException(int orig_symb_id_arg, int orig_lead_lag_arg) : orig_symb_id(orig_symb_id_arg),
orig_lead_lag(orig_lead_lag_arg)
{
}
};
private:
//! Factorized code for adding aux lag variables
......@@ -204,11 +214,13 @@ public:
\return the symbol ID of the new symbol
*/
int addExpectationAuxiliaryVar(int information_set, int index, const string &information_set_name) throw (FrozenException);
//! Searches auxiliary variables by symbol_id and lead_lag
//! Searches auxiliary variables which are substitutes for a given symbol_id and lead/lag
/*!
\return the symbol ID of the auxiliary variable and -1 if not found
The search is only performed among auxiliary variables of endo/exo lag.
\return the symbol ID of the auxiliary variable
Throws an exception if match not found.
*/
int searchAuxiliaryVars(int orig_symb_id, int orig_lead_lag) const;
int searchAuxiliaryVars(int orig_symb_id, int orig_lead_lag) const throw (SearchFailedException);
//! Returns the number of auxiliary variables
int AuxVarsSize() const {return aux_vars.size();};
//! Tests if symbol already exists
......
......@@ -17,6 +17,8 @@ OCTAVE_MODS = \
predetermined_variables.mod \
fs2000_ssfile.mod \
comments.mod \
histval_sto.mod \
histval_det.mod \
steady_state_operator/standard.mod \
steady_state_operator/use_dll.mod \
steady_state_operator/block.mod \
......
// Tests the histval block in deterministic setup
// In particular test if it works on endos and exos substituted by an aux var
var c k z;
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);
z = 0.9*z(-2);
c^(-gam) - (1+bet)^(-1)*(aa*alph*x(-1)*k^(alph-1) + 1 - delt)*c(+1)^(-gam);
end;
initval;
x = 1;
k = ((delt+bet)/(1.0*aa*alph))^(1/(alph-1));
c = aa*k^alph-delt*k;
z = 0;
end;
steady;
check;
histval;
k(0) = 0.6;
x(0) = 0.9;
z(-1) = 0.1;
end;
simul(periods=200);
// Tests the histval block in stochastic setup
// In particular test if it works on endos and exos substituted by an aux var
var y, c, k, a, h, b;
varexo e, u;
parameters beta, rho, alpha, delta, theta, psi, tau;
alpha = 0.36;
rho = 0.95;
tau = 0.025;
beta = 0.99;
delta = 0.025;
psi = 0;
theta = 2.95;
phi = 0.1;
model;
c*theta*h^(1+psi)=(1-alpha)*y;
k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
*(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
k = exp(b)*(y-c)+(1-delta)*k(-1);
a = rho*a(-1)+tau*b(-1)+0.01*b(-2) + e;
b = tau*a(-1)+rho*b(-1)+0.01*a(-2) + u(-2);
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 11.08360443260358;
a = 0;
b = 0;
e = 0;
u = 0;
end;
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
histval;
b(0) = 0.1;
a(-1) = 0.3;
u(-1) = 0.1;
end;
stoch_simul(nograph);
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