preprocessor: add use_calibration option for estimated_params_init block. closes #447, closes #512

doc/dynare.texi

@@ -4169,6 +4169,7 @@ end;
 @end deffn
 
 @deffn Block estimated_params_init ;
+@deffnx Block estimated_params_init (@var{OPTIONS}@dots{});
 
 This block declares numerical initial values for the optimizer when
 these ones are different from the prior mean.
@@ -4180,6 +4181,14 @@ stderr VARIABLE_NAME | corr VARIABLE_NAME_1, VARIABLE_NAME_2 | PARAMETER_NAME
 , INITIAL_VALUE;
 @end example
 
+@optionshead
+
+@table @code
+
+@item use_calibration
+Use the parameters from calibration as starting values for estimation.
+@end table
+
 @xref{estimated_params}, for the meaning and syntax of the various components.
 
 @end deffn

preprocessor/ComputingTasks.cc

@@ -581,15 +581,20 @@ EstimatedParamsStatement::writeOutput(ostream &output, const string &basename) c
 }
 
 EstimatedParamsInitStatement::EstimatedParamsInitStatement(const vector<EstimationParams> &estim_params_list_arg,
-                                                           const SymbolTable &symbol_table_arg) :
+                                                           const SymbolTable &symbol_table_arg,
+                                                           const bool use_calibration_arg) :
   estim_params_list(estim_params_list_arg),
-  symbol_table(symbol_table_arg)
+  symbol_table(symbol_table_arg),
+  use_calibration(use_calibration_arg)
 {
 }
 
 void
 EstimatedParamsInitStatement::writeOutput(ostream &output, const string &basename) const
 {
+  if (use_calibration)
+    output << "options_.use_calibration_initialization = 1;" << endl;
+
   vector<EstimationParams>::const_iterator it;
 
   for (it = estim_params_list.begin(); it != estim_params_list.end(); it++)

preprocessor/ComputingTasks.hh

@@ -290,9 +290,11 @@ class EstimatedParamsInitStatement : public Statement
 private:
   const vector<EstimationParams> estim_params_list;
   const SymbolTable &symbol_table;
+  const bool use_calibration;
 public:
   EstimatedParamsInitStatement(const vector<EstimationParams> &estim_params_list_arg,
-                               const SymbolTable &symbol_table_arg);
+                               const SymbolTable &symbol_table_arg,
+                               const bool use_calibration_arg);
   virtual void writeOutput(ostream &output, const string &basename) const;
 };
 

preprocessor/DynareBison.yy

@@ -90,7 +90,7 @@ class ParsingDriver;
 %}
 
 %token AIM_SOLVER ANALYTIC_DERIVATION AR AUTOCORR
-%token BAYESIAN_IRF BETA_PDF BLOCK
+%token BAYESIAN_IRF BETA_PDF BLOCK USE_CALIBRATION
 %token BVAR_DENSITY BVAR_FORECAST
 %token BVAR_PRIOR_DECAY BVAR_PRIOR_FLAT BVAR_PRIOR_LAMBDA
 %token BVAR_PRIOR_MU BVAR_PRIOR_OMEGA BVAR_PRIOR_TAU BVAR_PRIOR_TRAIN
@@ -1141,7 +1141,10 @@ estimated_elem3 : expression_or_empty COMMA expression_or_empty
                 ;
 
 estimated_params_init : ESTIMATED_PARAMS_INIT ';' estimated_init_list END ';'
-                        { driver.estimated_params_init(); };
+                        { driver.estimated_params_init(); }
+                      | ESTIMATED_PARAMS_INIT '(' USE_CALIBRATION ')' ';' estimated_init_list END ';'
+                        { driver.estimated_params_init(true); }
+                      ;
 
 estimated_init_list : estimated_init_list estimated_init_elem
                       { driver.add_estimated_params_element(); }

preprocessor/DynareFlex.ll

@@ -395,7 +395,7 @@ string eofbuff;
   return token::CNUM;
 }
 <DYNARE_STATEMENT>banact {return token::BANACT;}
-
+<DYNARE_BLOCK>use_calibration {return token::USE_CALIBRATION;}
 <DYNARE_STATEMENT>output_file_tag {return token::OUTPUT_FILE_TAG;}
 <DYNARE_STATEMENT>file_tag {return token::FILE_TAG;};
 <DYNARE_STATEMENT>no_create_init {return token::NO_CREATE_INIT;};

preprocessor/ParsingDriver.cc

@@ -1209,9 +1209,9 @@ ParsingDriver::estimated_params()
 }
 
 void
-ParsingDriver::estimated_params_init()
+ParsingDriver::estimated_params_init(bool use_calibration)
 {
-  mod_file->addStatement(new EstimatedParamsInitStatement(estim_params_list, mod_file->symbol_table));
+  mod_file->addStatement(new EstimatedParamsInitStatement(estim_params_list, mod_file->symbol_table, use_calibration));
   estim_params_list.clear();
 }
 

preprocessor/ParsingDriver.hh

@@ -391,7 +391,7 @@ public:
   //! Writes estimated params command
   void estimated_params();
   //! Writes estimated params init command
-  void estimated_params_init();
+  void estimated_params_init(bool use_calibration = false);
   //! Writes estimated params bound command
   void estimated_params_bounds();
   //! Adds a declaration for a user-defined external function