diff --git a/matlab/+pac/+mce/parameters.m b/matlab/+pac/+mce/parameters.m
index 6098a9fdfc1bbec96f12b3c6acfb25953ebc1b4d..f424909c7516d24a5f6e8a1b0fc6f1177a720801 100644
--- a/matlab/+pac/+mce/parameters.m
+++ b/matlab/+pac/+mce/parameters.m
@@ -11,7 +11,7 @@ function parameters(pacname)
% SPECIAL REQUIREMENTS
% none
-% Copyright © 2019-2021 Dynare Team
+% Copyright © 2019-2024 Dynare Team
%
% This file is part of Dynare.
%
@@ -59,7 +59,9 @@ params(1+(1:pacmodel.max_lag)) = M_.params(pacmodel.ar.params);
params(end) = M_.params(pacmodel.discount_index);
[G, alpha, beta] = buildGmatrixWithAlphaAndBeta(params);
M_.params(pacmodel.mce.alpha) = flip(alpha);
-if isfield(pacmodel, 'growth_neutrality_param_index')
+
+if isfield(pacmodel, 'growth_neutrality_param_index') || ...
+ (isfield(pacmodel, 'components') && isfield(pacmodel.components, 'growth_neutrality_param_index') && any(~cellfun(@isempty, {pacmodel.components.growth_neutrality_param_index})))
if isfield(pacmodel, 'non_optimizing_behaviour')
gamma = M_.params(pacmodel.share_of_optimizing_agents_index);
else
@@ -124,5 +126,14 @@ if isfield(pacmodel, 'growth_neutrality_param_index')
cc = cc - tmp0/gamma;
ll = ll - tmp1/gamma; % TODO: ll should be added as a constant in the PAC equation (under the λ part) when unrolling pac_expectation.
end
- M_.params(pacmodel.growth_neutrality_param_index) = cc; % Multiplies the variable or expression provided though the growth option in command pac_model.
-end
\ No newline at end of file
+ if isfield(pacmodel, 'growth_neutrality_param_index')
+ M_.params(pacmodel.growth_neutrality_param_index) = cc; % Multiplies the variable or expression provided though the growth option in command pac_model.
+ else
+ % TODO: We do not need one parameter per non stationary component, since they all have the same value.
+ for i=1:length(pacmodel.components)
+ if ~isempty(pacmodel.components(i).growth_neutrality_param_index)
+ M_.params(pacmodel.components(i).growth_neutrality_param_index) = cc;
+ end
+ end
+ end
+end
diff --git a/matlab/cherrypick.m b/matlab/cherrypick.m
index 9a6efb46e82fb49aac39114622ede5d4ef424c1a..935b901e28e179900b53eab90bbeda31e3f23567 100644
--- a/matlab/cherrypick.m
+++ b/matlab/cherrypick.m
@@ -17,7 +17,7 @@ function json = cherrypick(infile, outfold, eqtags, noresids, json)
% It is expected that the file infile.mod has already been run, and
% that the associated JSON output is available.
-% Copyright © 2019-2021 Dynare Team
+% Copyright © 2019-2024 Dynare Team
%
% This file is part of Dynare.
%
@@ -188,17 +188,57 @@ try
end
else
% MCE version of the PAC equation.
- auxlhs = M_.endo_names{M_.pac.(ispac.name).mce.z1};
- [rhs, growthneutralitycorrection] = write_pac_mce_expectations(eqtags{i}, ispac.name, auxlhs);
- if isempty(growthneutralitycorrection)
- RHS = strrep(RHS, sprintf('pac_expectation(model_name = %s)', ispac.name), auxlhs);
+ if ~isfield(M_.pac.(ispac.name), 'components')
+ auxlhs = M_.endo_names{M_.pac.(ispac.name).mce.z};
+ [rhs, growthneutralitycorrection] = write_pac_mce_expectations(eqtags{i}, ispac.name, auxlhs);
+ if isempty(growthneutralitycorrection)
+ RHS = strrep(RHS, sprintf('pac_expectation(model_name = %s)', ispac.name), auxlhs);
+ else
+ RHS = strrep(RHS, sprintf('pac_expectation(model_name = %s)', ispac.name), sprintf('%s+%s', auxlhs, growthneutralitycorrection));
+ end
else
- RHS = strrep(RHS, sprintf('pac_expectation(model_name = %s)', ispac.name), sprintf('%s+%s', auxlhs, growthneutralitycorrection));
+ n = length(M_.pac.(ispac.name).components);
+ auxlhs = cell(n, 1);
+ rhs = cell(n, 1);
+ growthneutralitycorrection = cell(n, 1);
+ for c=1:n
+ auxlhs{c} = M_.endo_names{M_.pac.(ispac.name).mce.z(c)};
+ [rhs{c}, growthneutralitycorrection{c}] = write_pac_mce_expectations(eqtags{i}, ispac.name, auxlhs{c}, c);
+ end
+ if isempty(growthneutralitycorrection{1})
+ if strcmp(M_.pac.(ispac.name).components(1).coeff_str, '1')
+ RHS__ = auxlhs{1};
+ else
+ RHS__ = sprintf('%s*%s', M_.pac.(ispac.name).components(1).coeff_str, auxlhs{1});
+ end
+ else
+ if strcmp(M_.pac.(ispac.name).components(1).coeff_str, '1')
+ RHS__ = sprintf('%s+%s', auxlhs{1}, growthneutralitycorrection{1});
+ else
+ RHS__ = sprintf('%s*(%s+%s)', M_.pac.(ispac.name).components(1).coeff_str, auxlhs{1}, growthneutralitycorrection{1});
+ end
+ end
+ for c=2:n
+ if isempty(growthneutralitycorrection{c})
+ if strcmp(M_.pac.(ispac.name).components(c).coeff_str, '1')
+ RHS__ = sprintf('%s+%s', RHS__, auxlhs{c});
+ else
+ RHS__ = sprintf('%s+%s*%s', RHS__, M_.pac.(ispac.name).components(c).coeff_str, auxlhs{c});
+ end
+ else
+ if strcmp(M_.pac.(ispac.name).components(c).coeff_str, '1')
+ RHS__ = sprintf('%s+%s+%s', RHS__, auxlhs{c}, growthneutralitycorrection{c});
+ else
+ RHS__ = sprintf('%s+%s*(%s+%s)', RHS__, M_.pac.(ispac.name).components(c).coeff_str, auxlhs{c}, growthneutralitycorrection{c});
+ end
+ end
+ end
+ RHS = strrep(RHS, sprintf('pac_expectation(model_name = %s)', ispac.name), RHS__);
end
end
end
if ~isempty(istar)
- RHS = strrep(RHS, sprintf('pac_target_nonstationary(model_name = %s)', ispac.name), sprintf('%s(-1)', M_.endo_names{M_.pac.(ispac.name).ec.vars(M_.pac.(ispac.name).ec.istarget)}));
+ RHS = strrep(RHS, sprintf('pac_target_nonstationary(model_name = %s)', ispac.name), targetexpr());
end
% Print equation for unrolled PAC/VAR-expectation and update
% list of parameters and endogenous variables (if any).
@@ -237,9 +277,23 @@ try
end
% Update pnames, enames and xnames if PAC with growth neutrality correction.
if ~isempty(ispac) && ~isempty(growthneutralitycorrection)
- [growthneutralitycorrection_pnames, ...
- growthneutralitycorrection_enames, ...
- growthneutralitycorrection_xnames] = get_variables_and_parameters_in_equation('', growthneutralitycorrection, M_);
+ if iscell(growthneutralitycorrection)
+ growthneutralitycorrection_pnames = [];
+ growthneutralitycorrection_enames = [];
+ growthneutralitycorrection_xnames = [];
+ for component=1:length(growthneutralitycorrection)
+ if ~isempty(growthneutralitycorrection{component})
+ [tmp_pnames, tmp_enames, tmp_xnames] = get_variables_and_parameters_in_equation('', growthneutralitycorrection{component}, M_);
+ growthneutralitycorrection_pnames = union(growthneutralitycorrection_pnames, tmp_pnames);
+ growthneutralitycorrection_xnames = union(growthneutralitycorrection_xnames, tmp_xnames);
+ growthneutralitycorrection_enames = union(growthneutralitycorrection_enames, tmp_enames);
+ end
+ end
+ else
+ [growthneutralitycorrection_pnames, ...
+ growthneutralitycorrection_enames, ...
+ growthneutralitycorrection_xnames] = get_variables_and_parameters_in_equation('', growthneutralitycorrection, M_);
+ end
if ~isempty(growthneutralitycorrection_pnames)
pnames = union(pnames, growthneutralitycorrection_pnames);
end
@@ -321,6 +375,7 @@ if ~isempty(plist)
fclose(fid);
end
+
function printlistofvariables(fid, kind, list, DynareModel, vappend)
if isfield(DynareModel, sprintf('%s_partitions', kind))
% Some endogenous variables are tagged.
@@ -385,3 +440,62 @@ function printlistofvariables(fid, kind, list, DynareModel, vappend)
end
fprintf(fid, '%s;', vlist);
end
+end
+
+function expr = targetexpr()
+ if isfield(M_.pac.(ispac.name), 'components')
+ ns = ~strcmp({M_.pac.pacman.components.kind}, 'll'); % non stationary components
+ expr = '';
+ for i=1:length(M_.pac.pacman.components)
+ if ns(i)
+ variable = rmauxiliary(M_.endo_names{M_.pac.(ispac.name).components(i).endo_var}, 1);
+ if isempty(expr)
+ if strcmp(M_.pac.(ispac.name).components(i).coeff_str, '1')
+ expr = variable;
+ else
+ expr = sprintf('%s*%s', M_.pac.(ispac.name).components(i).coeff_str, variable);
+ end
+ else
+ if strcmp(M_.pac.(ispac.name).components(i).coeff_str, '1')
+ expr = sprintf('%s+%s', expr, variable);
+ else
+ expr = sprintf('%s+%s*%s', expr, M_.pac.(ispac.name).components(i).coeff_str, variable);
+ end
+ end
+ end
+ end
+ else
+ expr = rmauxiliary(M_.endo_names{M_.pac.(ispac.name).ec.vars(M_.pac.(ispac.name).ec.istarget)}, 1);
+ end
+end
+
+
+function variable = rmauxiliary(variable, lag)
+ transformations = {};
+ if isauxiliary(variable)
+ ida = get_aux_variable_id(variable);
+ op = 0;
+ while ida
+ op = op+1;
+ if isequal(M_.aux_vars(ida).type, 8)
+ transformations(op) = {'diff'};
+ variable = M_.endo_names{M_.aux_vars(ida).orig_index};
+ ida = get_aux_variable_id(variable);
+ elseif isequal(M_.aux_vars(ida).type, 10)
+ transformations(op) = {M_.aux_vars(ida).unary_op};
+ variable = M_.endo_names{M_.aux_vars(ida).orig_index};
+ ida = get_aux_variable_id(variable);
+ else
+ error('This case is not implemented.')
+ end
+ end
+ end
+ if nargin>1
+ variable = sprintf('%s(-%u)', variable, lag);
+ end
+ for k=length(transformations):-1:1
+ variable = sprintf('%s(%s)', transformations{k}, variable);
+ end
+end
+
+end
diff --git a/matlab/write_pac_mce_expectations.m b/matlab/write_pac_mce_expectations.m
index 2ed0d5e48583c065ebc058c92a8e1c8d838c7f32..52ee8a6fd84856b414a13d1fa18bc775aec5e618 100644
--- a/matlab/write_pac_mce_expectations.m
+++ b/matlab/write_pac_mce_expectations.m
@@ -1,4 +1,4 @@
-function [expression, growthneutralitycorrection] = write_pac_mce_expectations(eqname, expectationmodelname, auxname)
+function [expression, growthneutralitycorrection] = write_pac_mce_expectations(eqname, expectationmodelname, auxname, component)
% Prints the expansion of the PAC_EXPECTATION term in files.
%
@@ -32,7 +32,14 @@ global M_
expectationmodel = M_.pac.(expectationmodelname);
-targetid = expectationmodel.ec.vars((expectationmodel.ec.istarget==true));
+if nargin==3 && ischar(eqname) && ischar(expectationmodelname) && ischar(auxname)
+ targetid = expectationmodel.ec.vars((expectationmodel.ec.istarget==true));
+elseif nargin==4 && ischar(eqname) && ischar(expectationmodelname) && ischar(auxname) && isint(component)
+ targetid = expectationmodel.components(component).endo_var;
+else
+ error('Unexpected number/types of input arguments')
+end
+
alphaid = expectationmodel.mce.alpha;
betaid = expectationmodel.discount_index;
@@ -71,6 +78,12 @@ end
% ᵐ ᵐ⁻¹ ᵐ⁻¹
% Zₜ = -∑ 𝛼ᵢ 𝛽ⁱ⁺¹ Zₜ₊ᵢ + A(1) [ 𝛥 yₜ − ∑ ∑ 𝛼ⱼ₊₁𝛽ʲ⁺¹𝛥 yₜ₊ₖ ]
% ᵢ₌₁ ₖ₌₁ ⱼ₌ₖ
+%
+% The previous formula is for each non-stationary component of the target. For each stationary component we have instead:
+%
+% ᵐ
+% Zₜ = -∑ 𝛼ᵢ 𝛽ⁱ⁺¹ Zₜ₊ᵢ + A(1)A(β) yₜ
+% ᵢ₌₁
expression = '';
A1 = '1';
@@ -93,15 +106,44 @@ for i=1:length(alphaid)
A1 = sprintf('%s+%s', A1, M_.param_names{alphaid(i)});
end
+if nargin==4
+ % Composite target. We need A(β) for the each stationary component.
+ AB = '1';
+ for i=1:length(alphaid)
+ AB = sprintf('%s+%s*%s^%u', AB, M_.param_names{alphaid(i)}, M_.param_names{betaid}, i);
+ end
+end
+
% Write
%
% ᵐ
% -∑ 𝛼ᵢ 𝛽ⁱ⁺¹ Zₜ₊ᵢ + A(1)
% ᵢ₌₁
+%
+% or for a stationary component
+%
+% ᵐ
+% -∑ 𝛼ᵢ 𝛽ⁱ⁺¹ Zₜ₊ᵢ + A(1)A(β)yₜ
+% ᵢ₌₁
expression = sprintf('%s+(%s)', expression, A1);
+if nargin==4 && strcmp(expectationmodel.components(component).kind, 'll')
+ if isempty(transformations)
+ expression = sprintf('%s*(%s)*%s', expression, AB, target);
+ else
+ variable = target;
+ for k=length(transformations):-1:1
+ variable = sprintf('%s(%s)', transformations{k}, variable);
+ end
+ expression = sprintf('%s*(%s)*%s', expression, AB, variable);
+ end
+ growthneutralitycorrection = [];
+ % Nothing to do next for a stationary component.
+ return
+end
+
% Write
%
% ᵐ
@@ -145,11 +187,17 @@ end
expression = sprintf('%s)', expression);
% Add growth neutrality correction if required.
-if isfield(expectationmodel, 'growth_neutrality_param_index')
- if numel(expectationmodel.growth_linear_comb) == 1
- growthneutralitycorrection = sprintf('%s*%s', M_.param_names{expectationmodel.growth_neutrality_param_index}, expectationmodel.growth_str);
+if nargin==3
+ info = expectationmodel;
+else
+ info = expectationmodel.components(component);
+end
+
+if isfield(info, 'growth_neutrality_param_index')
+ if numel(info.growth_linear_comb) == 1
+ growthneutralitycorrection = sprintf('%s*%s', M_.param_names{info.growth_neutrality_param_index}, info.growth_str);
else
- growthneutralitycorrection = sprintf('%s*(%s)', M_.param_names{expectationmodel.growth_neutrality_param_index}, expectationmodel.growth_str);
+ growthneutralitycorrection = sprintf('%s*(%s)', M_.param_names{info.growth_neutrality_param_index}, info.growth_str);
end
else
growthneutralitycorrection = '';
diff --git a/preprocessor b/preprocessor
index 8bfe3ef4bc8973589aa35d1a3cb265fb954748ee..92a85273004af68b2f16b40c69954b0315012d2a 160000
--- a/preprocessor
+++ b/preprocessor
@@ -1 +1 @@
-Subproject commit 8bfe3ef4bc8973589aa35d1a3cb265fb954748ee
+Subproject commit 92a85273004af68b2f16b40c69954b0315012d2a