From ae242770f98a18648b5c5687878189b1c6a05b59 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Wed, 17 Nov 2021 18:12:29 +0100
Subject: [PATCH] PAC: in the backward case, unify h0 and h1 parameters vector
into a single vector
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There is no reason to keep this distinction.
Additionally, since the data structure is now symmetric with the MCE case,
unify this “h” parameter vector with the “α” parameter vector.
---
src/DynamicModel.cc | 71 +++++++++++++--------------------------------
src/DynamicModel.hh | 6 ++--
src/SubModel.cc | 35 ++++------------------
src/SubModel.hh | 13 +++++----
4 files changed, 34 insertions(+), 91 deletions(-)
diff --git a/src/DynamicModel.cc b/src/DynamicModel.cc
index 1bc39dc1..77c8d60a 100644
--- a/src/DynamicModel.cc
+++ b/src/DynamicModel.cc
@@ -3789,7 +3789,7 @@ DynamicModel::computePacModelConsistentExpectationSubstitution(const string &nam
expr_t growth_correction_term,
ExprNode::subst_table_t &diff_subst_table,
map<string, int> &pac_aux_var_symb_ids,
- map<string, vector<int>> &pac_mce_alpha_symb_ids,
+ map<string, vector<int>> &pac_aux_param_symb_ids,
map<string, expr_t> &pac_expectation_substitution)
{
int pac_target_symb_id;
@@ -3827,7 +3827,7 @@ DynamicModel::computePacModelConsistentExpectationSubstitution(const string &nam
try
{
int alpha_i_symb_id = symbol_table.addSymbol(param_name, SymbolType::parameter);
- pac_mce_alpha_symb_ids[name].push_back(alpha_i_symb_id);
+ pac_aux_param_symb_ids[name].push_back(alpha_i_symb_id);
A = AddPlus(A, AddVariable(alpha_i_symb_id));
fp = AddPlus(fp,
AddTimes(AddTimes(AddVariable(alpha_i_symb_id),
@@ -3928,16 +3928,11 @@ DynamicModel::computePacBackwardExpectationSubstitution(const string &name,
const vector<int> &lhs,
int max_lag,
const string &aux_model_type,
- const vector<bool> &nonstationary,
expr_t growth_correction_term,
map<string, int> &pac_aux_var_symb_ids,
- map<string, vector<int>> &pac_h0_indices,
- map<string, vector<int>> &pac_h1_indices,
+ map<string, vector<int>> &pac_aux_param_symb_ids,
map<string, expr_t> &pac_expectation_substitution)
{
- bool stationary_vars_present = any_of(nonstationary.begin(), nonstationary.end(), logical_not<bool>());
- bool nonstationary_vars_present = any_of(nonstationary.begin(), nonstationary.end(), [](bool b) { return b; }); // FIXME: use std::identity instead of an anonymous function when we upgrade to C++20
-
auto create_aux_param = [&](const string ¶m_name)
{
try
@@ -3952,51 +3947,25 @@ DynamicModel::computePacBackwardExpectationSubstitution(const string &name,
};
expr_t subExpr = Zero;
- if (stationary_vars_present)
- {
- if (aux_model_type == "var")
- {
- /* If the auxiliary model is a VAR, add a parameter corresponding
- to the constant. */
- int new_param_symb_id = create_aux_param("h0_" + name + "_constant");
- pac_h0_indices[name].push_back(new_param_symb_id);
- subExpr = AddPlus(subExpr, AddVariable(new_param_symb_id));
- }
- for (int i = 1; i < max_lag + 1; i++)
- for (auto lhsit : lhs)
- {
- int new_param_symb_id = create_aux_param("h0_" + name + "_var_"
- + symbol_table.getName(lhsit)
- + "_lag_" + to_string(i));
- pac_h0_indices[name].push_back(new_param_symb_id);
- subExpr = AddPlus(subExpr,
- AddTimes(AddVariable(new_param_symb_id),
- AddVariable(lhsit, -i)));
- }
- }
-
- if (nonstationary_vars_present)
+ if (aux_model_type == "var")
{
- if (aux_model_type == "var")
- {
- /* If the auxiliary model is a VAR, add a parameter corresponding
- to the constant. */
- int new_param_symb_id = create_aux_param("h1_" + name + "_constant");
- pac_h1_indices[name].push_back(new_param_symb_id);
- subExpr = AddPlus(subExpr, AddVariable(new_param_symb_id));
- }
- for (int i = 1; i < max_lag + 1; i++)
- for (auto lhsit : lhs)
- {
- int new_param_symb_id = create_aux_param("h1_" + name + "_var_"
- + symbol_table.getName(lhsit)
- + "_lag_" + to_string(i));
- pac_h1_indices[name].push_back(new_param_symb_id);
- subExpr = AddPlus(subExpr,
- AddTimes(AddVariable(new_param_symb_id),
- AddVariable(lhsit, -i)));
- }
+ /* If the auxiliary model is a VAR, add a parameter corresponding
+ to the constant. */
+ int new_param_symb_id = create_aux_param("h_" + name + "_constant");
+ pac_aux_param_symb_ids[name].push_back(new_param_symb_id);
+ subExpr = AddPlus(subExpr, AddVariable(new_param_symb_id));
}
+ for (int i = 1; i < max_lag + 1; i++)
+ for (auto lhsit : lhs)
+ {
+ int new_param_symb_id = create_aux_param("h_" + name + "_var_"
+ + symbol_table.getName(lhsit)
+ + "_lag_" + to_string(i));
+ pac_aux_param_symb_ids[name].push_back(new_param_symb_id);
+ subExpr = AddPlus(subExpr,
+ AddTimes(AddVariable(new_param_symb_id),
+ AddVariable(lhsit, -i)));
+ }
int expect_var_id;
string expect_var_name = "pac_expectation_" + name;
diff --git a/src/DynamicModel.hh b/src/DynamicModel.hh
index 80579ceb..7f004475 100644
--- a/src/DynamicModel.hh
+++ b/src/DynamicModel.hh
@@ -539,7 +539,7 @@ public:
expr_t growth_correction_term,
ExprNode::subst_table_t &diff_subst_table,
map<string, int> &pac_aux_var_symb_ids,
- map<string, vector<int>> &pac_mce_alpha_symb_ids,
+ map<string, vector<int>> &pac_aux_param_symb_ids,
map<string, expr_t> &pac_expectation_substitution);
@@ -550,11 +550,9 @@ public:
const vector<int> &lhs,
int max_lag,
const string &aux_model_type,
- const vector<bool> &nonstationary,
expr_t growth_correction_term,
map<string, int> &pac_aux_var_symb_ids,
- map<string, vector<int>> &pac_h0_indices,
- map<string, vector<int>> &pac_h1_indices,
+ map<string, vector<int>> &pac_aux_param_symb_ids,
map<string, expr_t> &pac_expectation_substitution);
//! Substitutes pac_expectation operator with expectation based on auxiliary model
diff --git a/src/SubModel.cc b/src/SubModel.cc
index f484b2af..dbfaf0e1 100644
--- a/src/SubModel.cc
+++ b/src/SubModel.cc
@@ -842,22 +842,17 @@ PacModelTable::transformPass(ExprNode::subst_table_t &diff_subst_table,
// Collect some information about PAC models
int max_lag;
- vector<bool> nonstationary;
if (trend_component_model_table.isExistingTrendComponentModelName(aux_model_name[name]))
{
aux_model_type[name] = "trend_component";
max_lag = trend_component_model_table.getMaxLag(aux_model_name[name]) + 1;
lhs[name] = dynamic_model.getUndiffLHSForPac(aux_model_name[name], diff_subst_table);
- // All lhs variables in a trend component model are nonstationary
- nonstationary.insert(nonstationary.end(), trend_component_model_table.getDiff(aux_model_name[name]).size(), true);
}
else if (var_model_table.isExistingVarModelName(aux_model_name[name]))
{
aux_model_type[name] = "var";
max_lag = var_model_table.getMaxLag(aux_model_name[name]);
lhs[name] = var_model_table.getLhs(aux_model_name[name]);
- // nonstationary variables in a VAR are those that are in diff
- nonstationary = var_model_table.getDiff(aux_model_name[name]);
}
else if (aux_model_name[name].empty())
max_lag = 0;
@@ -895,15 +890,14 @@ PacModelTable::transformPass(ExprNode::subst_table_t &diff_subst_table,
growth_correction_term,
diff_subst_table,
aux_var_symb_ids,
- mce_alpha_symb_ids,
+ aux_param_symb_ids,
pac_expectation_substitution);
else
dynamic_model.computePacBackwardExpectationSubstitution(name, lhs[name], max_lag,
aux_model_type[name],
- nonstationary,
growth_correction_term,
aux_var_symb_ids,
- h0_indices, h1_indices,
+ aux_param_symb_ids,
pac_expectation_substitution);
}
@@ -975,10 +969,10 @@ PacModelTable::writeOutput(const string &basename, ostream &output) const
}
}
- // Write PAC Model Consistent Expectation parameter info
- for (auto &[name, ids] : mce_alpha_symb_ids)
+ // Write the auxiliary parameter IDs created for the pac_expectation operator
+ for (auto &[name, ids] : aux_param_symb_ids)
{
- output << "M_.pac." << name << ".mce.alpha = [";
+ output << "M_.pac." << name << "." << (aux_model_name.at(name).empty() ? "mce.alpha" : "h_param_indices") << " = [";
for (auto id : ids)
output << symbol_table.getTypeSpecificID(id) + 1 << " ";
output << "];" << endl;
@@ -1171,25 +1165,6 @@ PacModelTable::writeOutput(const string &basename, ostream &output) const
output << get<3>(it) << " ";
output << "];" << endl;
}
- // Create empty h0 and h1 substructures that will be overwritten later if not empty
- output << "M_.pac." << name << ".h0_param_indices = [];" << endl
- << "M_.pac." << name << ".h1_param_indices = [];" << endl;
- }
-
- for (auto &[name, symb_ids] : h0_indices)
- {
- output << "M_.pac." << name << ".h0_param_indices = [";
- for (auto it : symb_ids)
- output << symbol_table.getTypeSpecificID(it) + 1 << " ";
- output << "];" << endl;
- }
-
- for (auto &[name, symb_ids] : h1_indices)
- {
- output << "M_.pac." << name << ".h1_param_indices = [";
- for (auto it : symb_ids)
- output << symbol_table.getTypeSpecificID(it) + 1 << " ";
- output << "];" << endl;
}
}
diff --git a/src/SubModel.hh b/src/SubModel.hh
index ae84b685..f3a7921e 100644
--- a/src/SubModel.hh
+++ b/src/SubModel.hh
@@ -213,12 +213,13 @@ private:
correction term)
pac_model_name → symb_id */
map<string, int> aux_var_symb_ids;
- /* Stores symb_ids for alphas created by DynamicModel::addPacModelConsistentExpectationEquation()
- pac_model_name → mce_alpha_symb_ids */
- map<string, vector<int>> mce_alpha_symb_ids;
- /* Stores symb_ids for h0, h1 parameters
- pac_model_name → parameter symb_ids */
- map<string, vector<int>> h0_indices, h1_indices;
+ /* Stores symb_ids for auxiliary parameters created for the expression
+ substituted to the pac_expectation operator (excluding the growth
+ neutrality correction):
+ - in the backward case, contains the “h” parameters
+ - in the MCE case, contains the “α” parameters
+ pac_model_name → symb_ids */
+ map<string, vector<int>> aux_param_symb_ids;
/* Stores indices for growth neutrality parameters
pac_model_name → growth_neutrality_param_index */
map<string, int> growth_neutrality_params;
--
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