From 9bca65c7e525a2415fe46b27e8760208b22aba9d Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Mon, 9 Nov 2020 16:28:32 +0100
Subject: [PATCH] Deterministic models: replace exogenous with lead/lags by
auxiliary variables
This brings those models in line with stochastic models.
However note that transformation is still not exactly the same on stochastic
and deterministic models, because there is no need to take into account the
Jensen inequality on the latter. In deterministic models, there is a one-to-one
mapping between exogenous with lead/lags and auxiliaries, while in stochastic
models, an auxiliary endo may correspond to a more complex nonlinear expression.
---
src/ModFile.cc | 41 ++++++++++++++++++-----------------------
1 file changed, 18 insertions(+), 23 deletions(-)
diff --git a/src/ModFile.cc b/src/ModFile.cc
index b60a35eb..4b3a6764 100644
--- a/src/ModFile.cc
+++ b/src/ModFile.cc
@@ -613,29 +613,24 @@ ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs, bool
dynamic_model.substituteVarExpectation(var_expectation_subst_table);
dynamic_model.createVariableMapping(original_model.equation_number());
- if (mod_file_struct.stoch_simul_present
- || mod_file_struct.estimation_present
- || mod_file_struct.osr_present
- || mod_file_struct.ramsey_policy_present
- || mod_file_struct.discretionary_policy_present
- || mod_file_struct.calib_smoother_present
- || mod_file_struct.identification_present
- || mod_file_struct.mom_estimation_present
- || mod_file_struct.sensitivity_present
- || stochastic)
- {
- // In stochastic models, create auxiliary vars for leads and lags greater than 2, on both endos and exos
- dynamic_model.substituteEndoLeadGreaterThanTwo(false);
- dynamic_model.substituteExoLead(false);
- dynamic_model.substituteEndoLagGreaterThanTwo(false);
- dynamic_model.substituteExoLag(false);
- }
- else
- {
- // In deterministic models, create auxiliary vars for leads and lags endogenous greater than 2, only on endos (useless on exos)
- dynamic_model.substituteEndoLeadGreaterThanTwo(true);
- dynamic_model.substituteEndoLagGreaterThanTwo(true);
- }
+ /* Create auxiliary vars for leads and lags greater than 2, on both endos and
+ exos. The transformation is not exactly the same on stochastic and
+ deterministic models, because there is no need to take into account the
+ Jensen inequality on the latter. */
+ bool deterministic_model = !(mod_file_struct.stoch_simul_present
+ || mod_file_struct.estimation_present
+ || mod_file_struct.osr_present
+ || mod_file_struct.ramsey_policy_present
+ || mod_file_struct.discretionary_policy_present
+ || mod_file_struct.calib_smoother_present
+ || mod_file_struct.identification_present
+ || mod_file_struct.mom_estimation_present
+ || mod_file_struct.sensitivity_present
+ || stochastic);
+ dynamic_model.substituteEndoLeadGreaterThanTwo(deterministic_model);
+ dynamic_model.substituteExoLead(deterministic_model);
+ dynamic_model.substituteEndoLagGreaterThanTwo(deterministic_model);
+ dynamic_model.substituteExoLag(deterministic_model);
dynamic_model.updateVarAndTrendModel();
--
GitLab