From 8df34c1ca5cc55b4b191aeb01c7a02a56b22f63e Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Tue, 6 Jul 2021 18:42:19 +0200
Subject: [PATCH] VAR and trend component models: improve sanity checks on
lead/lags on RHS
In particular, forbid lagged exogenous.
---
src/DynamicModel.cc | 70 ++++++++++++++++++++++++---------------------
src/ExprNode.cc | 65 -----------------------------------------
src/ExprNode.hh | 13 +--------
3 files changed, 39 insertions(+), 109 deletions(-)
diff --git a/src/DynamicModel.cc b/src/DynamicModel.cc
index 54a63e12..463e093e 100644
--- a/src/DynamicModel.cc
+++ b/src/DynamicModel.cc
@@ -3392,13 +3392,6 @@ DynamicModel::fillVarModelTable() const
lhs_expr_t.push_back(*(lhs_expr_t_set.begin()));
equations[eqn]->arg2->collectDynamicVariables(SymbolType::endogenous, rhs_set);
- for (const auto &itrhs : rhs_set)
- if (itrhs.second > 0)
- {
- cerr << "ERROR: in Equation " << eqtag
- << ". A VAR may not have leaded or contemporaneous variables on the RHS. " << endl;
- exit(EXIT_FAILURE);
- }
rhs.push_back(rhs_set);
}
eqnums[it.first] = eqnumber;
@@ -3427,15 +3420,25 @@ DynamicModel::fillVarModelTableFromOrigModel() const
vector<bool> diff_vec;
for (auto eqn : it.second)
{
- // ensure no leads in equations
- if (equations[eqn]->arg2->VarMinLag() <= 0)
- {
- cerr << "ERROR in VAR model Equation (#" << eqn << "). "
- << "Leaded exogenous variables "
- << "and leaded or contemporaneous endogenous variables not allowed in VAR"
- << endl;
- exit(EXIT_FAILURE);
- }
+ // Perform some sanity checks on the RHS
+ string eqtag = equation_tags.getTagValueByEqnAndKey(eqn, "name");
+ set<pair<int, int>> rhs_endo_set, rhs_exo_set;
+ equations[eqn]->arg2->collectDynamicVariables(SymbolType::endogenous, rhs_endo_set);
+ for (const auto &[symb_id, lag] : rhs_endo_set)
+ if (lag >= 0)
+ {
+ cerr << "ERROR: in Equation " << eqtag
+ << ". A VAR model may not have leaded or contemporaneous endogenous variables on the RHS. " << endl;
+ exit(EXIT_FAILURE);
+ }
+ equations[eqn]->arg2->collectDynamicVariables(SymbolType::exogenous, rhs_exo_set);
+ for (const auto &[symb_id, lag] : rhs_exo_set)
+ if (lag != 0)
+ {
+ cerr << "ERROR: in Equation " << eqtag
+ << ". A VAR model may not have lagged or leaded exogenous variables on the RHS. " << endl;
+ exit(EXIT_FAILURE);
+ }
// save lhs variables
equations[eqn]->arg1->collectVARLHSVariable(lhs);
@@ -3583,13 +3586,6 @@ DynamicModel::fillTrendComponentModelTable() const
lhs_expr_t.push_back(*(lhs_expr_t_set.begin()));
equations[eqn]->arg2->collectDynamicVariables(SymbolType::endogenous, rhs_set);
- for (const auto &itrhs : rhs_set)
- if (itrhs.second > 0)
- {
- cerr << "ERROR: in Equation " << eqtag
- << ". A trend component model may not have leaded or contemporaneous variables on the RHS. " << endl;
- exit(EXIT_FAILURE);
- }
rhs.push_back(rhs_set);
}
eqnums[it.first] = eqnumber;
@@ -3645,15 +3641,25 @@ DynamicModel::fillTrendComponentModelTableFromOrigModel() const
vector<bool> diff_vec;
for (auto eqn : it.second)
{
- // ensure no leads in equations
- if (equations[eqn]->arg2->VarMinLag() <= 0)
- {
- cerr << "ERROR in trend component model Equation (#" << eqn << "). "
- << "Leaded exogenous variables "
- << "and leaded or contemporaneous endogenous variables not allowed in VAR"
- << endl;
- exit(EXIT_FAILURE);
- }
+ // Perform some sanity checks on the RHS
+ string eqtag = equation_tags.getTagValueByEqnAndKey(eqn, "name");
+ set<pair<int, int>> rhs_endo_set, rhs_exo_set;
+ equations[eqn]->arg2->collectDynamicVariables(SymbolType::endogenous, rhs_endo_set);
+ for (const auto &[symb_id, lag] : rhs_endo_set)
+ if (lag >= 0)
+ {
+ cerr << "ERROR: in Equation " << eqtag
+ << ". A trend component model may not have leaded or contemporaneous endogenous variables on the RHS. " << endl;
+ exit(EXIT_FAILURE);
+ }
+ equations[eqn]->arg2->collectDynamicVariables(SymbolType::exogenous, rhs_exo_set);
+ for (const auto &[symb_id, lag] : rhs_exo_set)
+ if (lag != 0)
+ {
+ cerr << "ERROR: in Equation " << eqtag
+ << ". A trend component model may not have lagged or leaded exogenous variables on the RHS. " << endl;
+ exit(EXIT_FAILURE);
+ }
// save lhs variables
equations[eqn]->arg1->collectVARLHSVariable(lhs);
diff --git a/src/ExprNode.cc b/src/ExprNode.cc
index 2cdf55c1..e7acf59f 100644
--- a/src/ExprNode.cc
+++ b/src/ExprNode.cc
@@ -553,12 +553,6 @@ NumConstNode::undiff() const
return const_cast<NumConstNode *>(this);
}
-int
-NumConstNode::VarMinLag() const
-{
- return 1;
-}
-
int
NumConstNode::VarMaxLag(const set<expr_t> &lhs_lag_equiv) const
{
@@ -1471,25 +1465,6 @@ VariableNode::maxLead() const
}
}
-int
-VariableNode::VarMinLag() const
-{
- switch (get_type())
- {
- case SymbolType::endogenous:
- return -lag;
- case SymbolType::exogenous:
- if (lag > 0)
- return -lag;
- else
- return 1; // Can have contemporaneus exog in VAR
- case SymbolType::modelLocalVariable:
- return datatree.getLocalVariable(symb_id)->VarMinLag();
- default:
- return 1;
- }
-}
-
int
VariableNode::maxLag() const
{
@@ -3234,12 +3209,6 @@ UnaryOpNode::VarMaxLag(const set<expr_t> &lhs_lag_equiv) const
return arg->maxLag();
}
-int
-UnaryOpNode::VarMinLag() const
-{
- return arg->VarMinLag();
-}
-
expr_t
UnaryOpNode::substituteAdl() const
{
@@ -4655,12 +4624,6 @@ BinaryOpNode::compileExternalFunctionOutput(ostream &CompileCode, unsigned int &
temporary_terms_idxs, dynamic, steady_dynamic, tef_terms);
}
-int
-BinaryOpNode::VarMinLag() const
-{
- return min(arg1->VarMinLag(), arg2->VarMinLag());
-}
-
int
BinaryOpNode::VarMaxLag(const set<expr_t> &lhs_lag_equiv) const
{
@@ -6196,12 +6159,6 @@ TrinaryOpNode::undiff() const
return buildSimilarTrinaryOpNode(arg1subst, arg2subst, arg3subst, datatree);
}
-int
-TrinaryOpNode::VarMinLag() const
-{
- return min(min(arg1->VarMinLag(), arg2->VarMinLag()), arg3->VarMinLag());
-}
-
int
TrinaryOpNode::VarMaxLag(const set<expr_t> &lhs_lag_equiv) const
{
@@ -6631,15 +6588,6 @@ AbstractExternalFunctionNode::undiff() const
return buildSimilarExternalFunctionNode(arguments_subst, datatree);
}
-int
-AbstractExternalFunctionNode::VarMinLag() const
-{
- int val = 0;
- for (auto argument : arguments)
- val = min(val, argument->VarMinLag());
- return val;
-}
-
int
AbstractExternalFunctionNode::VarMaxLag(const set<expr_t> &lhs_lag_equiv) const
{
@@ -8152,13 +8100,6 @@ VarExpectationNode::undiff() const
exit(EXIT_FAILURE);
}
-int
-VarExpectationNode::VarMinLag() const
-{
- cerr << "VarExpectationNode::VarMinLag not implemented." << endl;
- exit(EXIT_FAILURE);
-}
-
int
VarExpectationNode::VarMaxLag(const set<expr_t> &lhs_lag_equiv) const
{
@@ -8552,12 +8493,6 @@ PacExpectationNode::undiff() const
return const_cast<PacExpectationNode *>(this);
}
-int
-PacExpectationNode::VarMinLag() const
-{
- return 1;
-}
-
int
PacExpectationNode::VarMaxLag(const set<expr_t> &lhs_lag_equiv) const
{
diff --git a/src/ExprNode.hh b/src/ExprNode.hh
index 64d4a1fd..dfa9755c 100644
--- a/src/ExprNode.hh
+++ b/src/ExprNode.hh
@@ -1,5 +1,5 @@
/*
- * Copyright © 2007-2020 Dynare Team
+ * Copyright © 2007-2021 Dynare Team
*
* This file is part of Dynare.
*
@@ -371,9 +371,6 @@ public:
*/
virtual void collectDynamicVariables(SymbolType type_arg, set<pair<int, int>> &result) const = 0;
- //! Find lowest lag for VAR
- virtual int VarMinLag() const = 0;
-
//! Find the maximum lag in a VAR: handles case where LHS is diff
virtual int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const = 0;
@@ -761,7 +758,6 @@ public:
int maxLead() const override;
int maxLag() const override;
int maxLagWithDiffsExpanded() const override;
- int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
@@ -834,7 +830,6 @@ public:
int maxLead() const override;
int maxLag() const override;
int maxLagWithDiffsExpanded() const override;
- int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
@@ -935,7 +930,6 @@ public:
int maxLead() const override;
int maxLag() const override;
int maxLagWithDiffsExpanded() const override;
- int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
@@ -1042,7 +1036,6 @@ public:
int maxLead() const override;
int maxLag() const override;
int maxLagWithDiffsExpanded() const override;
- int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
@@ -1178,7 +1171,6 @@ public:
int maxLead() const override;
int maxLag() const override;
int maxLagWithDiffsExpanded() const override;
- int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
@@ -1290,7 +1282,6 @@ public:
int maxLead() const override;
int maxLag() const override;
int maxLagWithDiffsExpanded() const override;
- int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
@@ -1461,7 +1452,6 @@ public:
int maxLead() const override;
int maxLag() const override;
int maxLagWithDiffsExpanded() const override;
- int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
@@ -1534,7 +1524,6 @@ public:
int maxLead() const override;
int maxLag() const override;
int maxLagWithDiffsExpanded() const override;
- int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
--
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