Commit 965c7435 authored by houtanb's avatar houtanb

swz: svar_identification

git-svn-id: https://www.dynare.org/svn/dynare/trunk@3194 ac1d8469-bf42-47a9-8791-bf33cf982152
parent a5dad180
......@@ -1025,3 +1025,119 @@ PlotConditionalForecastStatement::writeOutput(ostream &output, const string &bas
else
output << "plot_icforecast(var_list_, " << periods << ");" << endl;
}
SvarIdentificationStatement::SvarIdentificationStatement(const svar_identification_exclusion_type &exclusion_arg,
const bool &upper_cholesky_present_arg,
const bool &lower_cholesky_present_arg,
const SymbolTable &symbol_table_arg) :
exclusion(exclusion_arg),
upper_cholesky_present(upper_cholesky_present_arg),
lower_cholesky_present(lower_cholesky_present_arg),
symbol_table(symbol_table_arg)
{
}
int
SvarIdentificationStatement::getMaxLag() const
{
int max_lag = 0;
for (svar_identification_exclusion_type::const_iterator it = exclusion.begin(); it != exclusion.end(); it++)
if (it->first.first > max_lag)
max_lag = it->first.first;
return max_lag;
}
void
SvarIdentificationStatement::checkPass(ModFileStructure &mod_file_struct)
{
if (!mod_file_struct.svar_identification_present)
mod_file_struct.svar_identification_present = true;
else
{
cerr << "ERROR: You may only have one svar_identification block in your .mod file." << endl;
exit(EXIT_FAILURE);
}
}
void
SvarIdentificationStatement::writeOutput(ostream &output, const string &basename) const
{
if (upper_cholesky_present && lower_cholesky_present)
{
cerr << "SvarIdentificationStatement::writeOutput() Should not arrive here (1). Please report this to the Dynare Team." << endl;
exit(EXIT_FAILURE);
}
output << "%" << endl
<< "% SVAR IDENTIFICATION" << endl
<< "%" << endl;
if (upper_cholesky_present)
output << "options_.ms.upper_cholesky=1;" << endl;
if (lower_cholesky_present)
output << "options_.ms.lower_cholesky=1;" << endl;
if (!upper_cholesky_present && !lower_cholesky_present)
{
int n = symbol_table.endo_nbr();
int m = symbol_table.exo_nbr();
int r = getMaxLag();
int k = r*n+m;
if (k<1)
{
cerr << "ERROR: lag = " << r
<< ", number of endogenous variables = " << n
<< ", number of exogenous variables = " << m
<< ". If this is not a logical error in the specification"
<< " of the .mod file, please report it to the Dynare Team." << endl;
exit(EXIT_FAILURE);
}
if (n<1)
{
cerr << "ERROR: Number of endogenous variables = " << n << "< 1. If this is not a logical "
<< "error in the specification of the .mod file, please report it to the Dynare Team." << endl;
exit(EXIT_FAILURE);
}
output << "options_.ms.Qi = zeros(" << n << ", " << n << ", " << n << ");" << endl;
output << "options_.ms.Ri = zeros(" << k << ", " << k << ", " << n << ");" << endl;
for (svar_identification_exclusion_type::const_iterator it = exclusion.begin(); it != exclusion.end(); it++)
{
for (unsigned int h = 0; h < it->second.size(); h++)
{
int j = symbol_table.getTypeSpecificID(it->second.at(h)) + 1;
int i = it->first.second;
if (j < 1 || j > n || (int)h+1 > n || i < 1)
{
cerr << "SvarIdentificationStatement::writeOutput() Should not arrive here (2). Please report this to the Dynare Team." << endl;
exit(EXIT_FAILURE);
}
if (i > n)
{
cerr << "ERROR: equation number " << i << " is greater than the number of endogenous variables, " << n << "." << endl;
exit(EXIT_FAILURE);
}
if (it->first.first == 0)
output << "options_.ms.Qi(" << h+1 << ", " << j << ", "<< i << ");" << endl;
else if (it->first.first > 0)
{
if ((it->first.first-1)*n+j > k)
{
cerr << "ERROR: lag =" << it->first.first << ", num endog vars = " << n << "current endog var index = " << j << ". Index "
<< "out of bounds. If the above does not represent a logical error, please report this to the Dyanre Team." << endl;
}
output << "options_.ms.Ri(" << h+1 << ", " << (it->first.first-1)*n+j << ", "<< i << ");" << endl;
}
else
{
cerr << "SvarIdentificationStatement::writeOutput() Should not arrive here (3). Please report this to the Dynare Team." << endl;
exit(EXIT_FAILURE);
}
}
}
}
}
......@@ -489,4 +489,23 @@ public:
virtual void writeOutput(ostream &output, const string &basename) const;
};
class SvarIdentificationStatement : public Statement
{
public:
typedef map<pair<int, int>, vector<string> > svar_identification_exclusion_type;
private:
const svar_identification_exclusion_type exclusion;
const bool upper_cholesky_present;
const bool lower_cholesky_present;
const SymbolTable &symbol_table;
int getMaxLag() const;
public:
SvarIdentificationStatement(const svar_identification_exclusion_type &exclusion_arg,
const bool &upper_cholesky_present_arg,
const bool &lower_cholesky_present_arg,
const SymbolTable &symbol_table_arg);
virtual void checkPass(ModFileStructure &mod_file_struct);
virtual void writeOutput(ostream &output, const string &basename) const;
};
#endif
......@@ -598,15 +598,14 @@ det_shock_elem : VAR symbol ';' PERIODS period_list ';' VALUES value_list ';'
;
svar_identification : SVAR_IDENTIFICATION ';' svar_identification_list END
{ ;}
{ driver.end_svar_identification(); }
;
svar_identification_list : svar_exclusion_list
{ ;}
| UPPER_CHOLESKY ';'
{ ;}
{ driver.add_upper_cholesky(); }
| LOWER_CHOLESKY ';'
{ ;}
{ driver.add_lower_cholesky(); }
;
svar_exclusion_list : svar_exclusion_list svar_exclusion_elem
......@@ -614,19 +613,19 @@ svar_exclusion_list : svar_exclusion_list svar_exclusion_elem
;
svar_exclusion_elem : EXCLUSION LAG INT_NUMBER ';' svar_equation_list
{ ;}
{ driver.combine_lag_and_restriction($3); }
;
svar_equation_list : svar_equation_list EQUATION INT_NUMBER COMMA svar_var_list ';'
{ ;}
{ driver.add_restriction_in_equation($3); }
| EQUATION INT_NUMBER COMMA svar_var_list ';'
{ ;}
{ driver.add_restriction_in_equation($2); }
;
svar_var_list : svar_var_list COMMA symbol
{ ;}
{ driver.add_in_svar_restriction_symbols($3); }
| symbol
{ ;}
{ driver.add_in_svar_restriction_symbols($1); }
;
markov_switching : MARKOV_SWITCHING '(' ms_options_list ')' ';'
......
......@@ -584,6 +584,82 @@ ParsingDriver::add_value(string *p1)
det_shocks_values.push_back(add_constant(p1));
}
void
ParsingDriver::end_svar_identification()
{
mod_file->addStatement(new SvarIdentificationStatement(svar_ident_exclusion_values,
svar_upper_cholesky,
svar_lower_cholesky,
mod_file->symbol_table));
svar_upper_cholesky = false;
svar_lower_cholesky = false;
svar_restriction_symbols.clear();
svar_equation_restrictions.clear();
svar_ident_exclusion_values.clear();
}
void
ParsingDriver::combine_lag_and_restriction(string *lag)
{
int current_lag = atoi(lag->c_str());
for (SvarIdentificationStatement::svar_identification_exclusion_type::const_iterator it = svar_ident_exclusion_values.begin();
it != svar_ident_exclusion_values.end(); it++)
if (it->first.first == current_lag)
error("lag " + *lag + " used more than once.");
for(map<int, vector<string> >::const_iterator it = svar_equation_restrictions.begin();
it != svar_equation_restrictions.end(); it++ )
svar_ident_exclusion_values[make_pair(current_lag, it->first)] = it->second;
svar_upper_cholesky = false;
svar_lower_cholesky = false;
svar_equation_restrictions.clear();
delete lag;
}
void
ParsingDriver::add_restriction_in_equation(string *equation)
{
int eqn = atoi(equation->c_str());
if (eqn < 1)
error("equation numbers must be greater than or equal to 1.");
if (svar_equation_restrictions.count(eqn) > 0)
error("equation number " + *equation + " referenced more than once under a single lag.");
svar_equation_restrictions[eqn] = svar_restriction_symbols;
svar_restriction_symbols.clear();
delete equation;
}
void
ParsingDriver::add_in_svar_restriction_symbols(string *tmp_var)
{
check_symbol_existence(*tmp_var);
for (unsigned int i=0; i<svar_restriction_symbols.size(); i++)
if (*tmp_var==svar_restriction_symbols.at(i))
error(*tmp_var + " restriction added twice.");
svar_restriction_symbols.push_back(*tmp_var);
delete tmp_var;
}
void
ParsingDriver::add_upper_cholesky()
{
svar_upper_cholesky = true;
svar_lower_cholesky = false;
}
void
ParsingDriver::add_lower_cholesky()
{
svar_upper_cholesky = false;
svar_lower_cholesky = true;
}
void
ParsingDriver::do_sigma_e()
{
......
......@@ -143,6 +143,12 @@ private:
HistValStatement::hist_values_type hist_values;
//! Temporary storage for homotopy_setup blocks
HomotopyStatement::homotopy_values_type homotopy_values;
//! Temporary storage for svar_identification blocks
SvarIdentificationStatement::svar_identification_exclusion_type svar_ident_exclusion_values;
map<int, vector<string> > svar_equation_restrictions;
vector<string> svar_restriction_symbols;
bool svar_upper_cholesky;
bool svar_lower_cholesky;
//! Temporary storage for argument list of unknown function
vector<NodeID> unknown_function_args;
......@@ -318,6 +324,13 @@ public:
void optim_options_num(string *name, string *value);
//! Prints varops instructions
void set_varobs();
//! Svar_Identification Statement
void end_svar_identification();
void combine_lag_and_restriction(string *lag);
void add_restriction_in_equation(string *equation);
void add_in_svar_restriction_symbols(string *name);
void add_upper_cholesky();
void add_lower_cholesky();
//! Forecast Statement
void forecast();
void set_trends();
......
......@@ -28,6 +28,7 @@ ModFileStructure::ModFileStructure() :
ramsey_policy_present(false),
order_option(0),
bvar_present(false),
svar_identification_present(false),
identification_present(false),
partial_information(false),
shocks_present(false)
......
......@@ -50,6 +50,8 @@ public:
int order_option;
//! Whether a bvar_density, bvar_forecast, sbvar, ms_sbvar statement is present
bool bvar_present;
//! Whether an svar_identification statement is present
bool svar_identification_present;
//! Whether an identification statement is present or the identification option of dynare_sensitivity statement is equal to one
bool identification_present;
//! Whether the option partial_information is given to stoch_simul/estimation/osr/ramsey_policy
......
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