From abbddd58541cb33a63f1600d2054eb59c36aea15 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Fri, 6 Oct 2017 11:45:38 +0200
Subject: [PATCH] Add preprocessor options for GMM, SMM, IRFs
---
DynareBison.yy | 165 +++++++++++++++++++++++++++++++++++++++++++++++--
DynareFlex.ll | 24 +++++++
2 files changed, 184 insertions(+), 5 deletions(-)
diff --git a/DynareBison.yy b/DynareBison.yy
index 2fe510d3..5c37c4ec 100644
--- a/DynareBison.yy
+++ b/DynareBison.yy
@@ -151,7 +151,7 @@ class ParsingDriver;
%token VLISTLOG VLISTPER SPECTRAL_DENSITY
%token RESTRICTION RESTRICTION_FNAME CROSS_RESTRICTIONS NLAGS CONTEMP_REDUCED_FORM REAL_PSEUDO_FORECAST
%token DUMMY_OBS NSTATES INDXSCALESSTATES NO_BAYESIAN_PRIOR SPECIFICATION SIMS_ZHA
-%token <string_val> ALPHA BETA ABAND NINV CMS NCMS CNUM GAMMA INV_GAMMA INV_GAMMA1 INV_GAMMA2 NORMAL UNIFORM EPS PDF FIG DR NONE PRIOR PRIOR_VARIANCE HESSIAN IDENTITY_MATRIX DIRICHLET
+%token <string_val> ALPHA BETA ABAND NINV CMS NCMS CNUM GAMMA INV_GAMMA INV_GAMMA1 INV_GAMMA2 NORMAL UNIFORM EPS PDF FIG DR NONE PRIOR PRIOR_VARIANCE HESSIAN IDENTITY_MATRIX DIRICHLET DIAGONAL OPTIMAL
%token GSIG2_LMDM Q_DIAG FLAT_PRIOR NCSK NSTD WEIBULL WEIBULL_PDF
%token INDXPARR INDXOVR INDXAP APBAND INDXIMF IMFBAND INDXFORE FOREBAND INDXGFOREHAT INDXGIMFHAT
%token INDXESTIMA INDXGDLS EQ_MS FILTER_COVARIANCE FILTER_DECOMPOSITION SMOOTHED_STATE_UNCERTAINTY
@@ -175,6 +175,10 @@ 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
+%token CENTERED_MOMENTS AUTOLAG RECURSIVE_ORDER_ESTIMATION BARTLETT_KERNEL_LAG WEIGHTING_MATRIX PENALIZED_ESTIMATOR VERBOSE
+%token SIMULATION_MULTIPLE SEED BOUNDED_SHOCK_SUPPORT
+%token ANALYTICAL_GIRF IRF_IN_PERCENT EMAS_GIRF EMAS_DROP EMAS_TOLF EMAS_MAX_ITER
+
%token <vector_string_val> SYMBOL_VEC
%type <node_val> expression expression_or_empty
@@ -1092,18 +1096,100 @@ perfect_foresight_solver_options : o_stack_solve_algo
| o_pf_tolx
;
-gmm_estimation : GMM_ESTIMATION '(' ')' ';'
+gmm_smm_common_option : o_datafile
+ | o_nobs
+ | o_first_obs
+ | o_optim
+ | o_mode_file
+ | o_mode_compute
+ | o_prior_trunc
+ | o_loglinear
+ | o_logdata
+ | o_relative_irf
+ | o_irf
+ | o_tex
+ | o_xls_sheet
+ | o_xls_range
+ | o_solve_algo
+ | o_plot_priors
+ | o_aim_solver
+ | o_selected_variables_only
+ | o_irf_shocks
+ | o_sylvester
+ | o_sylvester_fixed_point_tol
+ | o_lyapunov
+ | o_lyapunov_fixed_point_tol
+ | o_lyapunov_doubling_tol
+ | o_dr
+ | o_dr_cycle_reduction_tol
+ | o_dr_logarithmic_reduction_tol
+ | o_dr_logarithmic_reduction_maxiter
+ | o_qz_zero_threshold
+ | o_irf_plot_threshold
+ | o_consider_all_endogenous
+ | o_consider_only_observed
+ | o_dirname
+ | o_huge_number
+ | o_silent_optimizer
+ | o_nograph
+ | o_nodisplay
+ | o_graph_format
+ | o_analytical_girf
+ | o_irf_in_percent
+ | o_emas_girf
+ | o_emas_drop
+ | o_emas_tolf
+ | o_emas_max_iter
+ | o_stderr_multiples
+ | o_diagonal_only
+ ;
+
+gmm_estimation : GMM_ESTIMATION '(' gmm_estimation_options_list ')' ';'
{ driver.gmm_estimation(); }
- | GMM_ESTIMATION '(' ')' symbol_list ';'
+ | GMM_ESTIMATION '(' gmm_estimation_options_list ')' symbol_list ';'
{ driver.gmm_estimation(); }
;
-smm_estimation : SMM_ESTIMATION '(' ')' ';'
+gmm_estimation_options_list : gmm_estimation_option COMMA gmm_estimation_options_list
+ | gmm_estimation_option
+ ;
+
+gmm_estimation_option : gmm_smm_common_option
+ | o_gmm_order
+ | o_gmm_centered_moments
+ | o_gmm_autolag
+ | o_gmm_recursive_order_estimation
+ | o_gmm_bartlett_kernel_lag
+ | o_gmm_weighting_matrix
+ | o_gmm_penalized_estimator
+ | o_gmm_verbose
+ ;
+
+smm_estimation : SMM_ESTIMATION '(' smm_estimation_options_list ')' ';'
{ driver.smm_estimation(); }
- | SMM_ESTIMATION '(' ')' symbol_list ';'
+ | SMM_ESTIMATION '(' smm_estimation_options_list ')' symbol_list ';'
{ driver.smm_estimation(); }
;
+smm_estimation_options_list : smm_estimation_option COMMA smm_estimation_options_list
+ | smm_estimation_option
+ ;
+
+smm_estimation_option : gmm_smm_common_option
+ | o_smm_order
+ | o_smm_centered_moments
+ | o_smm_autolag
+ | o_smm_recursive_order_estimation
+ | o_smm_bartlett_kernel_lag
+ | o_smm_weighting_matrix
+ | o_smm_penalized_estimator
+ | o_smm_verbose
+ | o_smm_simulation_multiple
+ | o_smm_drop
+ | o_smm_seed
+ | o_smm_bounded_shock_support
+ ;
+
prior_function : PRIOR_FUNCTION '(' prior_posterior_function_options_list ')' ';'
{ driver.prior_posterior_function(true); }
;
@@ -1180,6 +1266,14 @@ stoch_simul_primary_options : o_dr_algo
| o_irf
| o_irf_shocks
| o_relative_irf
+ | o_analytical_girf
+ | o_irf_in_percent
+ | o_emas_girf
+ | o_emas_drop
+ | o_emas_tolf
+ | o_emas_max_iter
+ | o_stderr_multiples
+ | o_diagonal_only
| o_hp_filter
| o_hp_ngrid
| o_periods
@@ -1864,6 +1958,14 @@ estimation_options : o_datafile
| o_keep_kalman_algo_if_singularity_is_detected
| o_use_penalized_objective_for_hessian
| o_rescale_prediction_error_covariance
+ | o_analytical_girf
+ | o_irf_in_percent
+ | o_emas_girf
+ | o_emas_drop
+ | o_emas_tolf
+ | o_emas_max_iter
+ | o_stderr_multiples
+ | o_diagonal_only
;
list_optim_option : QUOTED_STRING COMMA QUOTED_STRING
@@ -3417,6 +3519,59 @@ o_use_shock_groups : USE_SHOCK_GROUPS { driver.option_str("plot_shock_decomp.use
;
o_colormap : COLORMAP EQUAL symbol { driver.option_num("plot_shock_decomp.colormap",$3); };
+o_gmm_order : ORDER EQUAL INT_NUMBER { driver.option_num("gmm.order", $3); };
+o_smm_order : ORDER EQUAL INT_NUMBER { driver.option_num("smm.order", $3); };
+o_gmm_centered_moments : CENTERED_MOMENTS { driver.option_num("gmm.centered_moments", "1"); };
+o_smm_centered_moments : CENTERED_MOMENTS { driver.option_num("smm.centered_moments", "1"); };
+o_gmm_autolag : AUTOLAG EQUAL vec_int
+ { driver.option_vec_int("gmm.autolag", $3); }
+ | AUTOLAG EQUAL vec_int_number
+ { driver.option_vec_int("gmm.autolag", $3); }
+ ;
+o_smm_autolag : AUTOLAG EQUAL vec_int
+ { driver.option_vec_int("smm.autolag", $3); }
+ | AUTOLAG EQUAL vec_int_number
+ { driver.option_vec_int("smm.autolag", $3); }
+ ;
+o_gmm_recursive_order_estimation : RECURSIVE_ORDER_ESTIMATION { driver.option_num("gmm.recursive_estimation", "1"); };
+o_smm_recursive_order_estimation : RECURSIVE_ORDER_ESTIMATION { driver.option_num("smm.recursive_estimation", "1"); };
+o_gmm_bartlett_kernel_lag : BARTLETT_KERNEL_LAG EQUAL INT_NUMBER { driver.option_num("gmm.qLag", $3); };
+o_smm_bartlett_kernel_lag : BARTLETT_KERNEL_LAG EQUAL INT_NUMBER { driver.option_num("smm.qLag", $3); };
+o_gmm_weighting_matrix : WEIGHTING_MATRIX EQUAL OPTIMAL
+ { driver.option_str("gmm.weighting_matrix", $3); }
+ | WEIGHTING_MATRIX EQUAL IDENTITY_MATRIX
+ { driver.option_str("gmm.weighting_matrix", $3); }
+ | WEIGHTING_MATRIX EQUAL DIAGONAL
+ { driver.option_str("gmm.weighting_matrix", $3); }
+ | WEIGHTING_MATRIX EQUAL filename
+ { driver.option_str("gmm.weighting_matrix", $3); }
+ ;
+o_smm_weighting_matrix : WEIGHTING_MATRIX EQUAL OPTIMAL
+ { driver.option_str("smm.weighting_matrix", $3); }
+ | WEIGHTING_MATRIX EQUAL IDENTITY_MATRIX
+ { driver.option_str("smm.weighting_matrix", $3); }
+ | WEIGHTING_MATRIX EQUAL DIAGONAL
+ { driver.option_str("smm.weighting_matrix", $3); }
+ | WEIGHTING_MATRIX EQUAL filename
+ { driver.option_str("smm.weighting_matrix", $3); }
+ ;
+o_gmm_penalized_estimator : PENALIZED_ESTIMATOR { driver.option_num("gmm.penalized_estimator", "1"); };
+o_smm_penalized_estimator : PENALIZED_ESTIMATOR { driver.option_num("smm.penalized_estimator", "1"); };
+o_gmm_verbose : VERBOSE { driver.option_num("gmm.verbose", "1"); };
+o_smm_verbose : VERBOSE { driver.option_num("smm.verbose", "1"); };
+
+o_smm_simulation_multiple : SIMULATION_MULTIPLE EQUAL INT_NUMBER { driver.option_num("smm.simulation_multiple", $3); };
+o_smm_drop : DROP EQUAL INT_NUMBER { driver.option_num("smm.drop", $3); };
+o_smm_seed : SEED EQUAL INT_NUMBER { driver.option_num("smm.seed", $3); };
+o_smm_bounded_shock_support : BOUNDED_SHOCK_SUPPORT { driver.option_num("smm.bounded_support", "1"); };
+
+o_analytical_girf : ANALYTICAL_GIRF { driver.option_num("irf_opt.analytical_GIRF", "1"); };
+o_irf_in_percent : IRF_IN_PERCENT { driver.option_num("irf_opt.percent", "1"); };
+o_emas_girf : EMAS_GIRF { driver.option_num("irf_opt.ergodic_mean_irf", "1"); };
+o_emas_drop : EMAS_DROP EQUAL INT_NUMBER { driver.option_num("irf_opt.EM.drop", $3); };
+o_emas_tolf : EMAS_TOLF EQUAL non_negative_number { driver.option_num("irf_opt.EM.tolf", $3); };
+o_emas_max_iter : EMAS_MAX_ITER EQUAL INT_NUMBER { driver.option_num("irf_opt.EM.iter", $3); };
+
range : symbol ':' symbol
{
$1->append(":");
diff --git a/DynareFlex.ll b/DynareFlex.ll
index c8cbdf06..2487f6e2 100644
--- a/DynareFlex.ll
+++ b/DynareFlex.ll
@@ -633,6 +633,30 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<DYNARE_STATEMENT>silent_optimizer {return token::SILENT_OPTIMIZER;}
<DYNARE_STATEMENT>lmmcp {return token::LMMCP;}
<DYNARE_STATEMENT>occbin {return token::OCCBIN;}
+<DYNARE_STATEMENT>centered_moments {return token::CENTERED_MOMENTS; }
+<DYNARE_STATEMENT>autolag {return token::AUTOLAG; }
+<DYNARE_STATEMENT>recursive_order_estimation {return token::RECURSIVE_ORDER_ESTIMATION; }
+<DYNARE_STATEMENT>bartlett_kernel_lag {return token::BARTLETT_KERNEL_LAG; }
+<DYNARE_STATEMENT>optimal {
+ yylval->string_val = new string(yytext);
+ return token::OPTIMAL;
+}
+<DYNARE_STATEMENT>diagonal {
+ yylval->string_val = new string(yytext);
+ return token::DIAGONAL;
+}
+<DYNARE_STATEMENT>weighting_matrix {return token::WEIGHTING_MATRIX; }
+<DYNARE_STATEMENT>penalized_estimator {return token::PENALIZED_ESTIMATOR; }
+<DYNARE_STATEMENT>verbose {return token::VERBOSE; }
+<DYNARE_STATEMENT>simulation_multiple {return token::SIMULATION_MULTIPLE; }
+<DYNARE_STATEMENT>seed {return token::SEED; }
+<DYNARE_STATEMENT>bounded_shock_support {return token::BOUNDED_SHOCK_SUPPORT; }
+<DYNARE_STATEMENT>analytical_girf {return token::ANALYTICAL_GIRF; }
+<DYNARE_STATEMENT>irf_in_percent {return token::IRF_IN_PERCENT; }
+<DYNARE_STATEMENT>emas_girf {return token::EMAS_GIRF; }
+<DYNARE_STATEMENT>emas_drop {return token::EMAS_DROP; }
+<DYNARE_STATEMENT>emas_tolf {return token::EMAS_TOLF; }
+<DYNARE_STATEMENT>emas_max_iter {return token::EMAS_MAX_ITER; }
<DYNARE_STATEMENT>[\$][^$]*[\$] {
strtok(yytext+1, "$");
--
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