From d2cbe2a19e55876e90d70a93d3008002810b1ae7 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Fri, 11 Sep 2020 16:45:19 +0200
Subject: [PATCH] PAC model: fixes to M_.pac.MODEL.ar (information about
autoregressive part)
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– Fix order of items in this structure. Previously, items were ordered
according to the declaration order of parameters. Now, items are order
according to lag order (first lag appears first)
– Gracefully handle the case where there is no autoregressive part
(Closes: #52)
---
src/DynamicModel.cc | 40 +++++++------------------
src/DynamicModel.hh | 5 +---
src/ExprNode.cc | 73 ++++++---------------------------------------
src/ExprNode.hh | 18 ++++-------
src/ModFile.cc | 1 -
5 files changed, 25 insertions(+), 112 deletions(-)
diff --git a/src/DynamicModel.cc b/src/DynamicModel.cc
index 27f5d3cf..3ae47128 100644
--- a/src/DynamicModel.cc
+++ b/src/DynamicModel.cc
@@ -3144,16 +3144,16 @@ DynamicModel::writeDriverOutput(ostream &output, const string &basename, bool bl
}
output << "];" << endl
<< modstruct << "pac." << substruct << "ar.params = [";
- for (auto &it : ar_params_and_vars)
- output << symbol_table.getTypeSpecificID(it.first) + 1 << " ";
+ for (auto &[pid, vid, vlag] : ar_params_and_vars)
+ output << (pid != -1 ? symbol_table.getTypeSpecificID(pid) + 1 : -1) << " ";
output << "];" << endl
<< modstruct << "pac." << substruct << "ar.vars = [";
- for (auto &it : ar_params_and_vars)
- output << symbol_table.getTypeSpecificID(it.second.first) + 1 << " ";
+ for (auto &[pid, vid, vlag] : ar_params_and_vars)
+ output << (vid != -1 ? symbol_table.getTypeSpecificID(vid) + 1 : -1) << " ";
output << "];" << endl
<< modstruct << "pac." << substruct << "ar.lags = [";
- for (auto &it : ar_params_and_vars)
- output << it.second.second << " ";
+ for (auto &[pid, vid, vlag] : ar_params_and_vars)
+ output << vlag << " ";
output << "];" << endl;
if (!non_optim_vars_params_and_constants.empty())
{
@@ -3882,7 +3882,7 @@ DynamicModel::walkPacParameters(const string &name)
{
pair<int, int> lhs(-1, -1);
pair<int, vector<tuple<int, bool, int>>> ec_params_and_vars;
- set<pair<int, pair<int, int>>> ar_params_and_vars;
+ vector<tuple<int, int, int>> ar_params_and_vars;
vector<tuple<int, int, int, double>> non_optim_vars_params_and_constants, optim_additive_vars_params_and_constants, additive_vars_params_and_constants;
if (equation->containsPacExpectation(name))
@@ -3954,7 +3954,7 @@ DynamicModel::walkPacParameters(const string &name)
cerr << "walkPacParameters: error obtaining LHS variable." << endl;
exit(EXIT_FAILURE);
}
- if (ec_params_and_vars.second.empty() || ar_params_and_vars.empty())
+ if (ec_params_and_vars.second.empty())
{
cerr << "walkPacParameters: error obtaining RHS parameters." << endl;
exit(EXIT_FAILURE);
@@ -3965,33 +3965,13 @@ DynamicModel::walkPacParameters(const string &name)
non_optim_vars_params_and_constants,
additive_vars_params_and_constants,
optim_additive_vars_params_and_constants};
- eqtag_and_lag[{name, eqtag}] = {eq, 0};
+ int max_lag = ar_params_and_vars.size();
+ eqtag_and_lag[{name, eqtag}] = {eq, max_lag};
}
}
return eqtag_and_lag;
}
-void
-DynamicModel::getPacMaxLag(const string &pac_model_name, map<pair<string, string>, pair<string, int>> &eqtag_and_lag) const
-{
- for (auto &equation : equations)
- if (equation->containsPacExpectation(pac_model_name))
- {
- set<pair<int, int>> endogs;
- equation->arg1->collectDynamicVariables(SymbolType::endogenous, endogs);
- if (endogs.size() != 1)
- {
- cerr << "The LHS of the PAC equation may only be comprised of one endogenous variable"
- << endl;
- exit(EXIT_FAILURE);
- }
-
- string eqtag = equation_tags.getTagValueByEqnAndKey(&equation - &equations[0], "name");
- string eq = eqtag_and_lag[{pac_model_name, eqtag}].first;
- eqtag_and_lag[{pac_model_name, eqtag}] = {eq, equation->PacMaxLag(endogs.begin()->first)};
- }
-}
-
int
DynamicModel::getPacTargetSymbId(const string &pac_model_name) const
{
diff --git a/src/DynamicModel.hh b/src/DynamicModel.hh
index 07c7b853..58a2f9b1 100644
--- a/src/DynamicModel.hh
+++ b/src/DynamicModel.hh
@@ -505,9 +505,6 @@ public:
//! Substitute VarExpectation operators
void substituteVarExpectation(const map<string, expr_t> &subst_table);
- //! Return max lag of pac equation
- void getPacMaxLag(const string &pac_model_name, map<pair<string, string>, pair<string, int>> &eqtag_and_lag) const;
-
// Exception thrown by getPacTargetSymbId()
class PacTargetNotIdentifiedException
{
@@ -553,7 +550,7 @@ public:
//! (pac_model_name, standardized_eqtag) ->
//! (lhs, optim_share_index, ar_params_and_vars, ec_params_and_vars, non_optim_vars_params_and_constants, additive_vars_params_and_constants, optim_additive_vars_params_and_constants)
map<pair<string, string>,
- tuple<pair<int, int>, int, set<pair<int, pair<int, int>>>, pair<int, vector<tuple<int, bool, int>>>, vector<tuple<int, int, int, double>>, vector<tuple<int, int, int, double>>, vector<tuple<int, int, int, double>>>> pac_equation_info;
+ tuple<pair<int, int>, int, vector<tuple<int, int, int>>, pair<int, vector<tuple<int, bool, int>>>, vector<tuple<int, int, int, double>>, vector<tuple<int, int, int, double>>, vector<tuple<int, int, int, double>>>> pac_equation_info;
//! Table to undiff LHS variables for pac vector z
vector<int> getUndiffLHSForPac(const string &aux_model_name,
diff --git a/src/ExprNode.cc b/src/ExprNode.cc
index da5b3625..4bb67ba7 100644
--- a/src/ExprNode.cc
+++ b/src/ExprNode.cc
@@ -565,12 +565,6 @@ NumConstNode::VarMaxLag(const set<expr_t> &lhs_lag_equiv) const
return 0;
}
-int
-NumConstNode::PacMaxLag(int lhs_symb_id) const
-{
- return 0;
-}
-
expr_t
NumConstNode::decreaseLeadsLags(int n) const
{
@@ -1538,17 +1532,6 @@ VariableNode::VarMaxLag(const set<expr_t> &lhs_lag_equiv) const
return maxLag();
}
-int
-VariableNode::PacMaxLag(int lhs_symb_id) const
-{
- if (get_type() == SymbolType::modelLocalVariable)
- return datatree.getLocalVariable(symb_id)->PacMaxLag(lhs_symb_id);
-
- if (lhs_symb_id == symb_id)
- return -lag;
- return 0;
-}
-
expr_t
VariableNode::substituteAdl() const
{
@@ -3243,13 +3226,6 @@ UnaryOpNode::VarMinLag() const
return arg->VarMinLag();
}
-int
-UnaryOpNode::PacMaxLag(int lhs_symb_id) const
-{
- //This will never be an UnaryOpcode::diff node
- return arg->PacMaxLag(lhs_symb_id);
-}
-
expr_t
UnaryOpNode::substituteAdl() const
{
@@ -4935,12 +4911,6 @@ BinaryOpNode::undiff() const
return buildSimilarBinaryOpNode(arg1subst, arg2subst, datatree);
}
-int
-BinaryOpNode::PacMaxLag(int lhs_symb_id) const
-{
- return max(arg1->PacMaxLag(lhs_symb_id), arg2->PacMaxLag(lhs_symb_id));
-}
-
expr_t
BinaryOpNode::decreaseLeadsLags(int n) const
{
@@ -5248,7 +5218,7 @@ BinaryOpNode::findTargetVariable(int lhs_symb_id) const
void
BinaryOpNode::getPacAREC(int lhs_symb_id, int lhs_orig_symb_id,
pair<int, vector<tuple<int, bool, int>>> &ec_params_and_vars,
- set<pair<int, pair<int, int>>> &ar_params_and_vars,
+ vector<tuple<int, int, int>> &ar_params_and_vars,
vector<tuple<int, int, int, double>> &additive_vars_params_and_constants) const
{
ec_params_and_vars.first = -1;
@@ -5303,7 +5273,7 @@ BinaryOpNode::getPacAREC(int lhs_symb_id, int lhs_orig_symb_id,
get<3>(t) *= it.second; // Update sign of constants
int pid = get<0>(m);
- for (auto [vid, lag, pidtmp, constant] : m.second)
+ for (auto [vid, vlag, pidtmp, constant] : m.second)
{
if (pid == -1)
pid = pidtmp;
@@ -5317,16 +5287,19 @@ BinaryOpNode::getPacAREC(int lhs_symb_id, int lhs_orig_symb_id,
vidorig == lhs_symb_id || vidorig == lhs_orig_symb_id)
{
// This is an autoregressive term
- if (constant != 1 || pid == -1)
+ if (constant != 1 || pid == -1 || !datatree.symbol_table.isDiffAuxiliaryVariable(vid))
{
- cerr << "BinaryOpNode::getPacAREC: autoregressive terms must be of the form 'parameter*lagged_variable" << endl;
+ cerr << "BinaryOpNode::getPacAREC: autoregressive terms must be of the form 'parameter*diff_lagged_variable" << endl;
exit(EXIT_FAILURE);
}
- ar_params_and_vars.insert({pid, { vid, lag }});
+ int ar_lag = datatree.symbol_table.getOrigLeadLagForDiffAuxVar(vid);
+ if (static_cast<int>(ar_params_and_vars.size()) < ar_lag)
+ ar_params_and_vars.resize(ar_lag, { -1, -1, 0 });
+ ar_params_and_vars[ar_lag-1] = { pid, vid, vlag };
}
else
// This is a residual additive term
- additive_vars_params_and_constants.emplace_back(vid, lag, pid, constant);
+ additive_vars_params_and_constants.emplace_back(vid, vlag, pid, constant);
}
}
}
@@ -6198,12 +6171,6 @@ TrinaryOpNode::VarMaxLag(const set<expr_t> &lhs_lag_equiv) const
arg3->VarMaxLag(lhs_lag_equiv)));
}
-int
-TrinaryOpNode::PacMaxLag(int lhs_symb_id) const
-{
- return max(arg1->PacMaxLag(lhs_symb_id), max(arg2->PacMaxLag(lhs_symb_id), arg3->PacMaxLag(lhs_symb_id)));
-}
-
expr_t
TrinaryOpNode::decreaseLeadsLags(int n) const
{
@@ -6634,15 +6601,6 @@ AbstractExternalFunctionNode::VarMaxLag(const set<expr_t> &lhs_lag_equiv) const
return max_lag;
}
-int
-AbstractExternalFunctionNode::PacMaxLag(int lhs_symb_id) const
-{
- int val = 0;
- for (auto argument : arguments)
- val = max(val, argument->PacMaxLag(lhs_symb_id));
- return val;
-}
-
expr_t
AbstractExternalFunctionNode::decreaseLeadsLags(int n) const
{
@@ -8151,13 +8109,6 @@ VarExpectationNode::VarMaxLag(const set<expr_t> &lhs_lag_equiv) const
exit(EXIT_FAILURE);
}
-int
-VarExpectationNode::PacMaxLag(int lhs_symb_id) const
-{
- cerr << "VarExpectationNode::PacMaxLag not implemented." << endl;
- exit(EXIT_FAILURE);
-}
-
expr_t
VarExpectationNode::decreaseLeadsLags(int n) const
{
@@ -8550,12 +8501,6 @@ PacExpectationNode::VarMaxLag(const set<expr_t> &lhs_lag_equiv) const
return 0;
}
-int
-PacExpectationNode::PacMaxLag(int lhs_symb_id) const
-{
- return 0;
-}
-
expr_t
PacExpectationNode::decreaseLeadsLags(int n) const
{
diff --git a/src/ExprNode.hh b/src/ExprNode.hh
index 4e3b2cd4..32d7d510 100644
--- a/src/ExprNode.hh
+++ b/src/ExprNode.hh
@@ -467,10 +467,6 @@ public:
maxLagWithDiffsExpanded() returns 3. */
virtual int maxLagWithDiffsExpanded() const = 0;
- //! Get Max lag of var associated with Pac model
- //! Takes account of undiffed LHS variables in calculating the max lag
- virtual int PacMaxLag(int lhs_symb_id) const = 0;
-
virtual expr_t undiff() const = 0;
//! Returns a new expression where all the leads/lags have been shifted backwards by the same amount
@@ -757,7 +753,6 @@ public:
int maxLagWithDiffsExpanded() const override;
int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
- int PacMaxLag(int lhs_symb_id) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
expr_t substituteEndoLeadGreaterThanTwo(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs, bool deterministic_model) const override;
@@ -830,7 +825,6 @@ public:
int maxLagWithDiffsExpanded() const override;
int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
- int PacMaxLag(int lhs_symb_id) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
expr_t substituteEndoLeadGreaterThanTwo(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs, bool deterministic_model) const override;
@@ -931,7 +925,6 @@ public:
int maxLagWithDiffsExpanded() const override;
int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
- int PacMaxLag(int lhs_symb_id) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
expr_t substituteEndoLeadGreaterThanTwo(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs, bool deterministic_model) const override;
@@ -1038,7 +1031,6 @@ public:
int maxLagWithDiffsExpanded() const override;
int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
- int PacMaxLag(int lhs_symb_id) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
expr_t substituteEndoLeadGreaterThanTwo(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs, bool deterministic_model) const override;
@@ -1086,10 +1078,14 @@ public:
is target ?, multiplicative scalar); this form theoretically allows for a
linear combination in the cointegration, though for the time being we allow
less than that
+ ar_params_and_vars: elements are indexed according to lag (index 0 is lag
+ 1); each tuple is (parameter_id, variable_id, variable_lag) where
+ variable_lag is *not* the lag order in the AR
+ (because variable is an AUX_DIFF_LAG)
*/
void getPacAREC(int lhs_symb_id, int lhs_orig_symb_id,
pair<int, vector<tuple<int, bool, int>>> &ec_params_and_vars,
- set<pair<int, pair<int, int>>> &ar_params_and_vars,
+ vector<tuple<int, int, int>> &ar_params_and_vars,
vector<tuple<int, int, int, double>> &additive_vars_params_and_constants) const;
//! Finds the share of optimizing agents in the PAC equation,
@@ -1170,7 +1166,6 @@ public:
int maxLagWithDiffsExpanded() const override;
int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
- int PacMaxLag(int lhs_symb_id) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
expr_t substituteEndoLeadGreaterThanTwo(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs, bool deterministic_model) const override;
@@ -1282,7 +1277,6 @@ public:
int maxLagWithDiffsExpanded() const override;
int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
- int PacMaxLag(int lhs_symb_id) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
expr_t substituteEndoLeadGreaterThanTwo(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs, bool deterministic_model) const override;
@@ -1453,7 +1447,6 @@ public:
int maxLagWithDiffsExpanded() const override;
int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
- int PacMaxLag(int lhs_symb_id) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
void prepareForDerivation() override;
@@ -1526,7 +1519,6 @@ public:
int maxLagWithDiffsExpanded() const override;
int VarMinLag() const override;
int VarMaxLag(const set<expr_t> &lhs_lag_equiv) const override;
- int PacMaxLag(int lhs_symb_id) const override;
expr_t undiff() const override;
expr_t decreaseLeadsLags(int n) const override;
void prepareForDerivation() override;
diff --git a/src/ModFile.cc b/src/ModFile.cc
index 4d528ebb..b60a35eb 100644
--- a/src/ModFile.cc
+++ b/src/ModFile.cc
@@ -494,7 +494,6 @@ ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs, bool
exit(EXIT_FAILURE);
}
auto eqtag_and_lag = dynamic_model.walkPacParameters(pms->name);
- original_model.getPacMaxLag(pms->name, eqtag_and_lag);
if (pms->aux_model_name.empty())
dynamic_model.addPacModelConsistentExpectationEquation(pms->name, symbol_table.getID(pms->discount),
eqtag_and_lag, diff_subst_table);
--
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