diff --git a/src/DynareBison.yy b/src/DynareBison.yy
index 98cee52eaf94b118dd10b088764cdc524f105015..ddcb24d833fc09be5eff8af92c2c6f5b03afeacd 100644
--- a/src/DynareBison.yy
+++ b/src/DynareBison.yy
@@ -172,6 +172,7 @@ class ParsingDriver;
%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 TIME_SHIFT STRUCTURAL TERMINAL_STEADY_STATE_AS_GUESS_VALUE
+%token SURPRISE
/* 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
@@ -1028,6 +1029,9 @@ pound_expression: '#' symbol EQUAL hand_side ';'
shocks : SHOCKS ';' shock_list END ';' { driver.end_shocks(false); }
| SHOCKS '(' OVERWRITE ')' ';' shock_list END ';' { driver.end_shocks(true); }
| SHOCKS '(' OVERWRITE ')' ';' END ';' { driver.end_shocks(true); }
+ | SHOCKS '(' SURPRISE ')' ';' surprise_shock_list END ';' { driver.end_shocks_surprise(false); }
+ | SHOCKS '(' SURPRISE COMMA OVERWRITE ')' ';' surprise_shock_list END ';' { driver.end_shocks_surprise(true); }
+ | SHOCKS '(' OVERWRITE COMMA SURPRISE ')' ';' surprise_shock_list END ';' { driver.end_shocks_surprise(true); }
;
shock_list : shock_list shock_elem
@@ -1049,6 +1053,10 @@ det_shock_elem : VAR symbol ';' PERIODS period_list ';' VALUES value_list ';'
{ driver.add_det_shock($2, $5, $8, false); }
;
+surprise_shock_list : surprise_shock_list det_shock_elem
+ | det_shock_elem
+ ;
+
heteroskedastic_shocks : HETEROSKEDASTIC_SHOCKS ';' heteroskedastic_shock_list END ';'
{ driver.end_heteroskedastic_shocks(false); }
| HETEROSKEDASTIC_SHOCKS '(' OVERWRITE ')' ';' heteroskedastic_shock_list END ';'
diff --git a/src/DynareFlex.ll b/src/DynareFlex.ll
index 6816154d8bc760d25023ba790b804bc4b43b8ad2..fec10ec5b1edebfc3bbc6c7c8fdaaf7281f9ff2d 100644
--- a/src/DynareFlex.ll
+++ b/src/DynareFlex.ll
@@ -761,6 +761,7 @@ DATE -?[0-9]+([ya]|m([1-9]|1[0-2])|q[1-4])
<DYNARE_BLOCK>uniform_pdf {return token::UNIFORM_PDF;}
<DYNARE_BLOCK>weibull_pdf {return token::WEIBULL_PDF;}
<DYNARE_BLOCK>dsge_prior_weight {return token::DSGE_PRIOR_WEIGHT;}
+<DYNARE_BLOCK>surprise {return token::SURPRISE;}
<DYNARE_BLOCK>; {return Dynare::parser::token_type (yytext[0]);}
<DYNARE_BLOCK># {return Dynare::parser::token_type (yytext[0]);}
diff --git a/src/ModFile.cc b/src/ModFile.cc
index 8fc0b422b02ad9c414b78ced0981d826d37d47b1..6c8b6b6e0561d74c6c80f74d0c071e54ecbf14a5 100644
--- a/src/ModFile.cc
+++ b/src/ModFile.cc
@@ -700,6 +700,12 @@ ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs, bool
exit(EXIT_FAILURE);
}
+ if (mod_file_struct.shocks_surprise_present && !occbin)
+ {
+ cerr << "ERROR: the 'shocks(surprise)' block can only be used in conjunction with occbin commands." << endl;
+ exit(EXIT_FAILURE);
+ }
+
if (!mod_file_struct.ramsey_model_present)
cout << "Found " << dynamic_model.equation_number() << " equation(s)." << endl;
else
@@ -985,8 +991,9 @@ ModFile::writeMOutput(const string &basename, bool clear_all, bool clear_global,
// May be later modified by a shocks block
mOutputFile << "M_.sigma_e_is_diagonal = true;" << endl;
- // Initialize M_.det_shocks and M_.heteroskedastic_shocks
+ // Initialize M_.det_shocks, M_.surprise_shocks and M_.heteroskedastic_shocks
mOutputFile << "M_.det_shocks = [];" << endl
+ << "M_.surprise_shocks = [];" << endl
<< "M_.heteroskedastic_shocks.Qvalue_orig = [];" << endl
<< "M_.heteroskedastic_shocks.Qscale_orig = [];" << endl;
diff --git a/src/ParsingDriver.cc b/src/ParsingDriver.cc
index 1bf5618dbcba8c8a90c67390eca8f093edb26c24..2674f8f2ffd520ec69c028524ca6e212c87ed0dd 100644
--- a/src/ParsingDriver.cc
+++ b/src/ParsingDriver.cc
@@ -798,6 +798,13 @@ ParsingDriver::end_mshocks(bool overwrite)
det_shocks.clear();
}
+void
+ParsingDriver::end_shocks_surprise(bool overwrite)
+{
+ mod_file->addStatement(make_unique<ShocksSurpriseStatement>(overwrite, det_shocks, mod_file->symbol_table));
+ det_shocks.clear();
+}
+
void
ParsingDriver::end_heteroskedastic_shocks(bool overwrite)
{
diff --git a/src/ParsingDriver.hh b/src/ParsingDriver.hh
index 972bd40b1421eb3ff4e11cf8cb25fa7479cfad83..324883b4a9d848d086985d7a0448e1fba884c128 100644
--- a/src/ParsingDriver.hh
+++ b/src/ParsingDriver.hh
@@ -149,7 +149,8 @@ private:
OptimWeightsStatement::var_weights_t var_weights;
//! Temporary storage of covariances from optim_weights
OptimWeightsStatement::covar_weights_t covar_weights;
- //! Temporary storage for deterministic shocks
+ /* Temporary storage for deterministic shocks. Also used for
+ conditional_forecast paths and for surprise shocks. */
ShocksStatement::det_shocks_t det_shocks;
//! Temporary storage for variances of shocks
ShocksStatement::var_and_std_shocks_t var_shocks;
@@ -436,9 +437,12 @@ public:
void end_shocks(bool overwrite);
//! Writes a mshocks statement
void end_mshocks(bool overwrite);
+ //! Writes a shocks(surprise) statement
+ void end_shocks_surprise(bool overwrite);
//! Writes a heteroskedastic_shocks statement
void end_heteroskedastic_shocks(bool overwrite);
- //! Adds a deterministic shock or a path element inside a conditional_forecast_paths block
+ /* Adds a deterministic shock, a path element inside a
+ conditional_forecast_paths block, or a surprise shock */
void add_det_shock(const string &var, const vector<pair<int, int>> &periods, const vector<expr_t> &values, bool conditional_forecast);
//! Adds a heteroskedastic shock (either values or scales)
void add_heteroskedastic_shock(const string &var, const vector<pair<int, int>> &periods, const vector<expr_t> &values, bool scales);
diff --git a/src/Shocks.cc b/src/Shocks.cc
index 4fbf8607726770a8b88d94aff1632052eb670f75..0e77c0c9d8dd9fb628110a6c17e485f87fdb24e0 100644
--- a/src/Shocks.cc
+++ b/src/Shocks.cc
@@ -428,6 +428,69 @@ MShocksStatement::writeJsonOutput(ostream &output) const
output << "}";
}
+ShocksSurpriseStatement::ShocksSurpriseStatement(bool overwrite_arg,
+ AbstractShocksStatement::det_shocks_t surprise_shocks_arg,
+ const SymbolTable &symbol_table_arg) :
+ overwrite{overwrite_arg}, surprise_shocks{move(surprise_shocks_arg)},
+ symbol_table{symbol_table_arg}
+{
+}
+
+void
+ShocksSurpriseStatement::checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings)
+{
+ mod_file_struct.shocks_surprise_present = true;
+}
+
+void
+ShocksSurpriseStatement::writeOutput(ostream &output, const string &basename, bool minimal_workspace) const
+{
+ if (overwrite)
+ output << "M_.surprise_shocks = [" << endl;
+ else
+ output << "M_.surprise_shocks = [ M_.surprise_shocks;" << endl;
+ for (const auto &[id, shock_vec] : surprise_shocks)
+ {
+ for (const auto &[period1, period2, value] : shock_vec)
+ {
+ output << "struct('exo_id'," << symbol_table.getTypeSpecificID(id)+1
+ << ",'periods'," << period1 << ":" << period2
+ << ",'value',";
+ value->writeOutput(output);
+ output << ");" << endl;
+ }
+ }
+ output << "];" << endl;
+}
+
+void
+ShocksSurpriseStatement::writeJsonOutput(ostream &output) const
+{
+ output << R"({"statementName": "shocks")"
+ << R"(, "surprise": true)"
+ << R"(, "surprise_shocks": [)";
+ for (auto it = surprise_shocks.begin(); it != surprise_shocks.end(); ++it)
+ {
+ if (it != surprise_shocks.begin())
+ output << ", ";
+ output << R"({"var": ")" << symbol_table.getName(it->first) << R"(", )"
+ << R"("values": [)";
+ for (auto it1 = it->second.begin(); it1 != it->second.end(); ++it1)
+ {
+ auto [period1, period2, value] = *it1;
+ if (it1 != it->second.begin())
+ output << ", ";
+ output << R"({"period1": )" << period1 << ", "
+ << R"("period2": )" << period2 << ", "
+ << R"("value": ")";
+ value->writeJsonOutput(output, {}, {});
+ output << R"("})";
+ }
+ output << "]}";
+ }
+ output << "]}";
+}
+
ConditionalForecastPathsStatement::ConditionalForecastPathsStatement(AbstractShocksStatement::det_shocks_t paths_arg,
const SymbolTable &symbol_table_arg) :
paths{move(paths_arg)},
diff --git a/src/Shocks.hh b/src/Shocks.hh
index 243768832acbf5f0f9cffdc8f1ee28eb0cd818a2..b2b22155ba672863d3f4e053a288ed89ec5decd4 100644
--- a/src/Shocks.hh
+++ b/src/Shocks.hh
@@ -86,6 +86,26 @@ public:
void writeJsonOutput(ostream &output) const override;
};
+/* Represents a shocks(surprise) block.
+ Given the differences with the plain “shocks” block, it was easier to make
+ it a separate class. */
+class ShocksSurpriseStatement : public Statement
+{
+public:
+ //! Does this "shocks(surprise)" statement replace the previous ones?
+ const bool overwrite;
+ const AbstractShocksStatement::det_shocks_t surprise_shocks;
+private:
+ const SymbolTable &symbol_table;
+public:
+ ShocksSurpriseStatement(bool overwrite_arg,
+ AbstractShocksStatement::det_shocks_t surprise_shocks_arg,
+ const SymbolTable &symbol_table_arg);
+ void checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings) override;
+ void writeOutput(ostream &output, const string &basename, bool minimal_workspace) const override;
+ void writeJsonOutput(ostream &output) const override;
+};
+
class ConditionalForecastPathsStatement : public Statement
{
private:
diff --git a/src/Statement.hh b/src/Statement.hh
index 32e020a8b196af042192fe82ad45c3b57b4c4f17..0b23aad61522fefb350aded009fe2b7fed698301 100644
--- a/src/Statement.hh
+++ b/src/Statement.hh
@@ -145,6 +145,8 @@ public:
/* Lists symbol IDs of parameters that appear in a “planner_discount” option.
See dynare#1173 for more details. */
set<int> parameters_in_planner_discount;
+ // Whether a shocks(surprise) block appears
+ bool shocks_surprise_present{false};
};
class Statement