From 6af84b8cac54777bc97d4bc232452f8cf9b4498c Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Tue, 17 Oct 2023 14:52:00 -0400
Subject: [PATCH] =?UTF-8?q?The=20=E2=80=9Cmshocks=E2=80=9D=20block=20now?=
=?UTF-8?q?=20accepts=20the=20=E2=80=9Clearnt=5Fin=3D=E2=80=A6=E2=80=9D=20?=
=?UTF-8?q?option?=
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---
src/DynareBison.yy | 3 +++
src/ParsingDriver.cc | 45 ++++++++++++++++++++++++++++++++++++++++----
src/ParsingDriver.hh | 4 +++-
src/Shocks.cc | 2 ++
src/Shocks.hh | 15 ++++++++-------
5 files changed, 57 insertions(+), 12 deletions(-)
diff --git a/src/DynareBison.yy b/src/DynareBison.yy
index 8c29deb7..7e21d57d 100644
--- a/src/DynareBison.yy
+++ b/src/DynareBison.yy
@@ -1282,6 +1282,9 @@ svar_options : o_coefficients
mshocks : MSHOCKS ';' mshock_list END ';' { driver.end_mshocks(false); }
| MSHOCKS '(' OVERWRITE ')' ';' mshock_list END ';' { driver.end_mshocks(true); }
+ | MSHOCKS '(' LEARNT_IN EQUAL INT_NUMBER ')' ';' mshock_list END ';' { driver.end_mshocks_learnt_in($5, false); }
+ | MSHOCKS '(' LEARNT_IN EQUAL INT_NUMBER COMMA OVERWRITE ')' ';' mshock_list END ';' { driver.end_mshocks_learnt_in($5, true); }
+ | MSHOCKS '(' OVERWRITE COMMA LEARNT_IN EQUAL INT_NUMBER ')' ';' mshock_list END ';' { driver.end_mshocks_learnt_in($7, true); }
;
mshock_list : mshock_list det_shock_elem
diff --git a/src/ParsingDriver.cc b/src/ParsingDriver.cc
index 0cbba3a3..f8ce2cac 100644
--- a/src/ParsingDriver.cc
+++ b/src/ParsingDriver.cc
@@ -921,10 +921,11 @@ ParsingDriver::end_shocks_learnt_in(const string &learnt_in_period, bool overwri
end_shocks(overwrite);
return;
}
- for (auto &[symb_id, vals] : det_shocks)
- for (auto [period1, period2, expr] : vals)
- if (period1 < learnt_in_period_int)
- error("shocks: for variable " + mod_file->symbol_table.getName(symb_id) + ", shock period (" + to_string(period1) + ") is earlier than the period in which the shock is learnt (" + learnt_in_period + ")");
+ for (auto &storage : { det_shocks, learnt_shocks_add, learnt_shocks_multiply } )
+ for (auto &[symb_id, vals] : storage)
+ for (auto [period1, period2, expr] : vals)
+ if (period1 < learnt_in_period_int)
+ error("shocks: for variable " + mod_file->symbol_table.getName(symb_id) + ", shock period (" + to_string(period1) + ") is earlier than the period in which the shock is learnt (" + learnt_in_period + ")");
// Aggregate the three types of shocks
ShocksLearntInStatement::learnt_shocks_t learnt_shocks;
@@ -958,6 +959,42 @@ ParsingDriver::end_shocks_learnt_in(const string &learnt_in_period, bool overwri
learnt_shocks_multiply.clear();
}
+void
+ParsingDriver::end_mshocks_learnt_in(const string &learnt_in_period, bool overwrite)
+{
+ int learnt_in_period_int = stoi(learnt_in_period);
+ if (learnt_in_period_int < 1)
+ error("mshocks: value '" + learnt_in_period + "' is not allowed for 'learnt_in' option");
+ if (learnt_in_period_int == 1)
+ {
+ end_mshocks(overwrite);
+ return;
+ }
+
+ for (auto &[symb_id, vals] : det_shocks)
+ for (auto [period1, period2, expr] : vals)
+ if (period1 < learnt_in_period_int)
+ error("mshocks: for variable " + mod_file->symbol_table.getName(symb_id) + ", shock period (" + to_string(period1) + ") is earlier than the period in which the shock is learnt (" + learnt_in_period + ")");
+
+ ShocksLearntInStatement::learnt_shocks_t learnt_shocks;
+ for (const auto &[id, v] : det_shocks)
+ {
+ vector<tuple<ShocksLearntInStatement::LearntShockType, int, int, expr_t>> v2;
+ for (auto [period1, period2, value] : v)
+ v2.emplace_back(ShocksLearntInStatement::LearntShockType::multiplySteadyState, period1, period2, value);
+ learnt_shocks[id] = v2;
+ }
+
+ mod_file->addStatement(make_unique<ShocksLearntInStatement>(learnt_in_period_int, overwrite,
+ move(learnt_shocks),
+ mod_file->symbol_table));
+ det_shocks.clear();
+ if (!learnt_shocks_add.empty())
+ error("mshocks: 'add' keyword not allowed");
+ if (!learnt_shocks_multiply.empty())
+ error("mshocks: 'multiply' keyword not allowed");
+}
+
void
ParsingDriver::end_heteroskedastic_shocks(bool overwrite)
{
diff --git a/src/ParsingDriver.hh b/src/ParsingDriver.hh
index d1acbae2..7c6f7144 100644
--- a/src/ParsingDriver.hh
+++ b/src/ParsingDriver.hh
@@ -149,7 +149,7 @@ private:
//! Temporary storage of covariances from optim_weights
OptimWeightsStatement::covar_weights_t covar_weights;
/* Temporary storage for deterministic shocks. Also used for
- conditional_forecast paths, for shocks(surprise), and shocks(learnt_in=…)
+ conditional_forecast paths, for mshocks, shocks(surprise) and shocks(learnt_in=…)
(for the latter, only used for shocks declared in level through “valuesâ€). */
ShocksStatement::det_shocks_t det_shocks;
// Temporary storage for shocks declared with “add†and “multiply†in shocks(learnt_in=…)
@@ -452,6 +452,8 @@ public:
void end_shocks_surprise(bool overwrite);
//! Writes a shocks(learnt_in=…) block
void end_shocks_learnt_in(const string &learnt_in_period, bool overwrite);
+ //! Writes a mshocks(learnt_in=…) block
+ void end_mshocks_learnt_in(const string &learnt_in_period, bool overwrite);
//! Writes a heteroskedastic_shocks statement
void end_heteroskedastic_shocks(bool overwrite);
/* Adds a deterministic shock, a path element inside a
diff --git a/src/Shocks.cc b/src/Shocks.cc
index 1204a0d7..3924c1a4 100644
--- a/src/Shocks.cc
+++ b/src/Shocks.cc
@@ -524,6 +524,8 @@ ShocksLearntInStatement::typeToString(LearntShockType type)
return "add";
case LearntShockType::multiply:
return "multiply";
+ case LearntShockType::multiplySteadyState:
+ return "multiply_steady_state";
}
exit(EXIT_FAILURE); // Silence GCC warning
}
diff --git a/src/Shocks.hh b/src/Shocks.hh
index 01114a16..e5743d02 100644
--- a/src/Shocks.hh
+++ b/src/Shocks.hh
@@ -106,20 +106,21 @@ public:
void writeJsonOutput(ostream &output) const override;
};
-/* Represents a shocks(learnt_in=…) block.
- Given the differences with the plain “shocks†block, it was easier to make
- it a separate class. */
+/* Represents a shocks(learnt_in=…) or mshocks(learnt_in=…) block.
+ Given the differences with the plain “shocks†and “mshocks†blocks,
+ it was easier to make it a separate class. */
class ShocksLearntInStatement : public Statement
{
public:
const int learnt_in_period;
- //! Does this "shocks(learnt_in=…)" statement replace the previous ones?
+ //! Does this “shocks(learnt_in=…)†or “mshocks(learnt_in=…)†block replace the previous ones?
const bool overwrite;
enum class LearntShockType
{
- level,
- add,
- multiply
+ level, // The value is the level of the exogenous (“values†statement in “shocks(learnt_in=…)â€)
+ add, // The value is the additive change of the exogenous compared to previous information period (“add†statement in “shocks(learnt_in=…)â€)
+ multiply, // The value is the multiplicative change of the exogenous compared to previous information period (“multiply†statement in “shocks(learnt_in=…)â€)
+ multiplySteadyState // The value is the ratio of the exogenous over its (terminal) steady state as anticipated in the same informational period (“values†statement in “mshocks(learnt_in=…)â€)
};
// The tuple is (type, period1, period2, value)
using learnt_shocks_t = map<int, vector<tuple<LearntShockType, int, int, expr_t>>>;
--
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