From 221daeab6ffdc18e2ebf026162e92b06ab1c61b3 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Thu, 1 Jul 2021 17:56:07 +0200
Subject: [PATCH] New time_shift option to var_expectation_model
Ref. dynare#1787
---
src/ComputingTasks.cc | 6 ++++--
src/ComputingTasks.hh | 4 +++-
src/DynareBison.yy | 4 +++-
src/DynareFlex.ll | 1 +
src/ModFile.cc | 2 +-
src/ParsingDriver.cc | 8 +++++++-
6 files changed, 19 insertions(+), 6 deletions(-)
diff --git a/src/ComputingTasks.cc b/src/ComputingTasks.cc
index a0839c1d..a12702f0 100644
--- a/src/ComputingTasks.cc
+++ b/src/ComputingTasks.cc
@@ -4896,10 +4896,11 @@ VarExpectationModelStatement::VarExpectationModelStatement(string model_name_arg
string aux_model_name_arg,
string horizon_arg,
expr_t discount_arg,
+ int time_shift_arg,
const SymbolTable &symbol_table_arg) :
model_name{move(model_name_arg)}, expression{expression_arg},
aux_model_name{move(aux_model_name_arg)}, horizon{move(horizon_arg)},
- discount{discount_arg}, symbol_table{symbol_table_arg}
+ discount{discount_arg}, time_shift{time_shift_arg}, symbol_table{symbol_table_arg}
{
}
@@ -4954,7 +4955,8 @@ VarExpectationModelStatement::writeOutput(ostream &output, const string &basenam
{
string mstruct = "M_.var_expectation." + model_name;
output << mstruct << ".auxiliary_model_name = '" << aux_model_name << "';" << endl
- << mstruct << ".horizon = " << horizon << ';' << endl;
+ << mstruct << ".horizon = " << horizon << ';' << endl
+ << mstruct << ".time_shift = " << time_shift << ';' << endl;
if (!vars_params_constants.size())
{
diff --git a/src/ComputingTasks.hh b/src/ComputingTasks.hh
index f507f577..80cec542 100644
--- a/src/ComputingTasks.hh
+++ b/src/ComputingTasks.hh
@@ -1157,6 +1157,7 @@ private:
public:
const string aux_model_name, horizon;
const expr_t discount;
+ const int time_shift;
const SymbolTable &symbol_table;
// List of generated auxiliary param ids, in variable-major order
vector<int> aux_params_ids; // TODO: move this to some new VarModelTable object
@@ -1164,7 +1165,8 @@ private:
vector<tuple<int, int, double>> vars_params_constants;
public:
VarExpectationModelStatement(string model_name_arg, expr_t expression_arg, string aux_model_name_arg,
- string horizon_arg, expr_t discount_arg, const SymbolTable &symbol_table_arg);
+ string horizon_arg, expr_t discount_arg, int time_shift_arg,
+ const SymbolTable &symbol_table_arg);
void substituteUnaryOpNodes(const lag_equivalence_table_t &nodes, ExprNode::subst_table_t &subst_table);
void substituteDiff(const lag_equivalence_table_t &diff_table, ExprNode::subst_table_t &subst_table);
// Analyzes the linear combination contained in the 'expression' option
diff --git a/src/DynareBison.yy b/src/DynareBison.yy
index 05f6d59e..78ba1a46 100644
--- a/src/DynareBison.yy
+++ b/src/DynareBison.yy
@@ -166,7 +166,7 @@ class ParsingDriver;
%token PARAMETER_CONVERGENCE_CRITERION NUMBER_OF_LARGE_PERTURBATIONS NUMBER_OF_SMALL_PERTURBATIONS
%token NUMBER_OF_POSTERIOR_DRAWS_AFTER_PERTURBATION MAX_NUMBER_OF_STAGES
%token RANDOM_FUNCTION_CONVERGENCE_CRITERION RANDOM_PARAMETER_CONVERGENCE_CRITERION NO_INIT_ESTIMATION_CHECK_FIRST_OBS
-%token HETEROSKEDASTIC_FILTER
+%token HETEROSKEDASTIC_FILTER TIME_SHIFT
/* Method of Moments */
%token METHOD_OF_MOMENTS MOM_METHOD
%token BARTLETT_KERNEL_LAG WEIGHTING_MATRIX WEIGHTING_MATRIX_SCALING_FACTOR ANALYTIC_STANDARD_ERRORS ANALYTIC_JACOBIAN PENALIZED_ESTIMATOR VERBOSE
@@ -449,6 +449,8 @@ var_expectation_model_option : VARIABLE EQUAL symbol
{ driver.option_str("model_name", $3); }
| DISCOUNT EQUAL expression
{ driver.var_expectation_model_discount = $3; }
+ | TIME_SHIFT EQUAL signed_integer
+ { driver.option_num("time_shift", $3); }
;
nonstationary_var_list : nonstationary_var_list symbol
diff --git a/src/DynareFlex.ll b/src/DynareFlex.ll
index 4b553668..4347d994 100644
--- a/src/DynareFlex.ll
+++ b/src/DynareFlex.ll
@@ -814,6 +814,7 @@ DATE -?[0-9]+([ya]|m([1-9]|1[0-2])|q[1-4])
<DYNARE_STATEMENT>coefficients {return token::COEFFICIENTS;}
<DYNARE_STATEMENT>variances {return token::VARIANCES;}
<DYNARE_STATEMENT>equations {return token::EQUATIONS;}
+<DYNARE_STATEMENT>time_shift {return token::TIME_SHIFT;}
<DYNARE_STATEMENT>true {
yylval->build<string>(yytext);
return token::TRUE;
diff --git a/src/ModFile.cc b/src/ModFile.cc
index 78b6f882..530bc38c 100644
--- a/src/ModFile.cc
+++ b/src/ModFile.cc
@@ -590,7 +590,7 @@ ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs, bool
subst_expr = dynamic_model.AddPlus(subst_expr,
dynamic_model.AddTimes(dynamic_model.AddVariable(new_param_id),
- dynamic_model.AddVariable(variable, -lag)));
+ dynamic_model.AddVariable(variable, -lag + vems->time_shift)));
}
if (var_expectation_subst_table.find(model_name) != var_expectation_subst_table.end())
diff --git a/src/ParsingDriver.cc b/src/ParsingDriver.cc
index 3448e2a2..df1ffa58 100644
--- a/src/ParsingDriver.cc
+++ b/src/ParsingDriver.cc
@@ -3364,9 +3364,15 @@ ParsingDriver::var_expectation_model()
else
var_expectation_model_discount = data_tree->One;
+ int time_shift = 0;
+ it = options_list.num_options.find("time_shift");
+ if (it != options_list.num_options.end())
+ time_shift = stoi(it->second);
+
mod_file->addStatement(make_unique<VarExpectationModelStatement>(model_name, var_expectation_model_expression,
var_model_name, horizon,
- var_expectation_model_discount, mod_file->symbol_table));
+ var_expectation_model_discount, time_shift,
+ mod_file->symbol_table));
options_list.clear();
var_expectation_model_discount = nullptr;
--
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