Overhaul Occbin interface

A two constraint-example should look like:

var a, c, i, k, lambdak;    
varexo erra;
parameters ALPHA, DELTAK, BETA, GAMMAC, RHOA, PHI, PSI;

BETA=0.96;
ALPHA=0.33;
DELTAK=0.10;
GAMMAC=2;
RHOA = 0.9;
PHI = 0.975;
PSI = 5;        % adjustment cost for capital if investment is negative

model;

# zkss = ((1/BETA-1+DELTAK)/ALPHA)^(1/(ALPHA-1));
# zcss = -DELTAK*zkss + zkss^ALPHA;
# ziss = DELTAK*zkss;
# zuss = (zcss^(1-GAMMAC)-1)/(1-GAMMAC);
# zvss = zuss/(1-BETA);

/////////////////////////////////////////////////////////////////
// 1.
[name='Euler', bind = 'INEG'] 
-exp(c)^(-GAMMAC)*(1+2*PSI*(exp(k)/exp(k(-1))-1)/exp(k(-1)))
+ BETA*exp(c(1))^(-GAMMAC)*((1-DELTAK)-2*PSI*(exp(k(1))/exp(k)-1)*
  (-exp(k(1))/exp(k)^2)+ALPHA*exp(a(1))*exp(k)^(ALPHA-1))= 
  -lambdak+BETA*(1-DELTAK)*lambdak(1);

[name='Euler', relax = 'INEG']
-exp(c)^(-GAMMAC) + BETA*exp(c(1))^(-GAMMAC)*(1-DELTAK)+ALPHA*exp(a(1))*exp(k)^(ALPHA-1))= 
  -lambdak+BETA*(1-DELTAK)*lambdak(1);

// 2.
[name='Budget constraint',bind = 'INEG'] 
exp(c)+exp(k)-(1-DELTAK)*exp(k(-1))+PSI*(exp(k)/exp(k(-1))-1)^2=exp(a)*exp(k(-1))^(ALPHA);
[name='Budget constraint',relax = 'INEG']
exp(c)+exp(k)-(1-DELTAK)*exp(k(-1))=exp(a)*exp(k(-1))^(ALPHA);

// 3.
[name='LOM capital']
exp(i) = exp(k)-(1-DELTAK)*exp(k(-1));

// 4.
[name='investment',bind='IRR,INEG']
(i - log(PHI*ziss)) = 0;
[name='investment',relax='IRR']
lambdak=0;
[name='investment',bind='IRR',relax='INEG']
(i - log(PHI*ziss)) = 0;

// 5. 
[name='LOM TFP']
a = RHOA*a(-1)+erra;


end;

occbin_constraints;
name 'IRR';
bind i<PHI-1;
relax lambdak<0;
error_bind EXPRESSION;
error_relax EXPRESSION;
name 'INEG';
bind i<-0.000001;
end;

steady_state_model;
kss = ((1/BETA-1+DELTAK)/ALPHA)^(1/(ALPHA-1));
css = -DELTAK*kss +kss^ALPHA;
iss = DELTAK*kss;
k = log(kss);
c = log(css);
i = log(iss);
lambdak = 0;
a=0;
end;


shocks;
  var erra; stderr 0.015;
end;

steady;

  
shocks(surprise,overwrite);
var erra;
periods 1:9, 10, 50, 90, 130, 131:169;
values -0.0001, -0.01,-0.02, 0.01, 0.02, 0;
end;

occbin_setup;

occbin_solver(simul_periods=200,simul_maxit=200,simul_curb_retrench,simul_check_ahead_periods=200);
occbin_write_regimes(filename='test',periods=[1:100]);

This involves:

Add a new block shocks(surprise)-block for setting the values of surprise shocks appearing in each period.

shocks(surprise,overwrite);
var NAME;
periods INTEGER[:INTEGER] [[,] INTEGER[:INTEGER]]...;
values DOUBLE | (EXPRESSION) [[,] DOUBLE | (EXPRESSION) ]...;
end;

that should map into M_.surprise_shocks.

A new occbin_constraints-block of the form
```
occbin_constraints;
name 'STRING'; bind EXPRESSION; [relax EXPRESSION;] [error_bind EXPRESSION;] [error_relax EXPRESSION;]
end;
```
that fills the structure M_.occbin.constraint. The relax-part specifying the condition when the solution returns to the reference regime is optional. Generally, it will be simply the complement to bind.
Remove the existing occbin-model tag and instead trigger occbin.initialize if occbin_constraints is present.
Parse the contents written to M_.occbin.constraint (the job currently done in occbin.process_constraint and occbin.process_error_constraint (called by occbin.initialize)
Based on the parsed content, create the +dname\eval_difference.m file currently created in occbin.initialize.
Adjust the constraints to refer to the nonlinear instead of the linear and demeaned model by adding the steady state to all endogenous variables in the occbin_difference.m-file. Instead of
```
occbin_constraints;
name 'relax_borrcon'; bind lb<-STEADY_STATE(lb);
end;
```
to get bind lb<0 we would use
```
occbin_constraints;
name 'relax_borrcon'; bind lb<0;
end;
```
For this to work, we need to replace the current
```
binding.constraint_1 = zdatalinear(:,4)<(-(steady_state(4)));
```
internally by
```
binding.constraint_1 = zdatalinear(:,4)+steady_state(4)<0;
```
Construct the dynamic and static-files based on the present equation tags.
- Require name-tags when bind/relax-tags are present
- Base the static-file on the reference regime, i.e. where all constraints are relax
- Introduce an internal binding constraint-indicating parameter based on the name of the constraints, e.g. IRR_bind, initialized at 0 and keeping track of its index in M_.occbin.constraint(k).pswitch_index
- Construct the dynamic model to contain equations for each name-tagged equation that are a sum of the occbin-tagged ones, premultiplied with the switch-indicator. For example
```
[name='investment',bind='IRR,INEG']
(i - log(PHI*ziss)) = 0;
[name='investment',relax='IRR']
lambdak=0;
[name='investment',bind='IRR',relax='INEG']
(i - log(PHI*ziss)) = 0;
```
should results in
```
IRR_bind*INEG_bind*(i - log(PHI*ziss))+(1-IRR_bind)*(lambdak)+IRR_bind*(1-INEG_bind)*(i - log(PHI*ziss))
```

✓ 11 of 11 checklist items completed · Edited 3 years ago

Overhaul Occbin interface

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