From 5a5817b4fe26c40c113a2d9c62497e69a71d4b7c Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Thu, 14 Nov 2019 17:51:16 +0100
Subject: [PATCH] Improvements to the test for balanced growth path
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— Raise the default tolerance for cross-derivatives to 1e-6, to reduce the
number of false positives
— New option “balanced_growth_test_tol” to the “model” block for changing that
tolerance
— Turn back test failures into errors. Since there is now an option for
controlling the tolerance, the user always has the possibility of making the
test pass.
Closes: dynare#1389
---
src/DynamicModel.cc | 11 +++++++----
src/DynamicModel.hh | 8 ++++++++
src/DynareBison.yy | 3 ++-
src/DynareFlex.ll | 1 +
src/ParsingDriver.cc | 6 ++++++
src/ParsingDriver.hh | 2 ++
6 files changed, 26 insertions(+), 5 deletions(-)
diff --git a/src/DynamicModel.cc b/src/DynamicModel.cc
index 32110a3b..e6cd7e91 100644
--- a/src/DynamicModel.cc
+++ b/src/DynamicModel.cc
@@ -100,6 +100,7 @@ DynamicModel::DynamicModel(const DynamicModel &m) :
ModelTree {m},
trend_component_model_table {m.trend_component_model_table},
var_model_table {m.var_model_table},
+ balanced_growth_test_tol {m.balanced_growth_test_tol},
static_only_equations_lineno {m.static_only_equations_lineno},
static_only_equations_equation_tags {m.static_only_equations_equation_tags},
deriv_id_table {m.deriv_id_table},
@@ -160,6 +161,7 @@ DynamicModel::operator=(const DynamicModel &m)
assert(&trend_component_model_table == &m.trend_component_model_table);
assert(&var_model_table == &m.var_model_table);
+ balanced_growth_test_tol = m.balanced_growth_test_tol;
static_only_equations_lineno = m.static_only_equations_lineno;
static_only_equations_equation_tags = m.static_only_equations_equation_tags;
@@ -5800,13 +5802,14 @@ DynamicModel::testTrendDerivativesEqualToZero(const eval_context_t &eval_context
if (symbol_table.getType(endogit->first.first) == SymbolType::endogenous)
{
double nearZero = testeq->getDerivative(endogit->second)->eval(eval_context); // eval d F / d Trend d Endog
- if (fabs(nearZero) > zero_band)
+ if (fabs(nearZero) > balanced_growth_test_tol)
{
- cerr << "WARNING: trends not compatible with balanced growth path; the second-order cross partial of equation " << eq + 1 << " (line "
+ cerr << "ERROR: trends not compatible with balanced growth path; the second-order cross partial of equation " << eq + 1 << " (line "
<< equations_lineno[eq] << ") w.r.t. trend variable "
<< symbol_table.getName(it->first.first) << " and endogenous variable "
- << symbol_table.getName(endogit->first.first) << " is not null. " << endl;
- // Changed to warning. See discussion in #1389
+ << symbol_table.getName(endogit->first.first) << " is not null (abs. value = "
+ << fabs(nearZero) << "). If you are confident that your trends are correctly specified, you can raise the value of option 'balanced_growth_test_tol' in the 'model' block." << endl;
+ exit(EXIT_FAILURE);
}
}
}
diff --git a/src/DynamicModel.hh b/src/DynamicModel.hh
index 67ca4019..865d22d7 100644
--- a/src/DynamicModel.hh
+++ b/src/DynamicModel.hh
@@ -35,7 +35,15 @@ public:
TrendComponentModelTable &trend_component_model_table;
//! A reference to the VAR model table
VarModelTable &var_model_table;
+ /* Used in the balanced growth test, for determining whether the
+ cross-derivative of a given equation, w.r.t. an endogenous and a trend
+ variable is zero. Controlled by option “balanced_growth_test_tol” of the
+ “model” block. The default should not be too small (see dynare#1389). */
+ double balanced_growth_test_tol{1e-6};
private:
+ /* Used in the balanced growth test, for skipping equations where the test
+ cannot be performed (i.e. when LHS=RHS at the initial values). Should not
+ be too large, otherwise the test becomes less powerful. */
constexpr static double zero_band{1e-8};
//! Stores equations declared as [static]
diff --git a/src/DynareBison.yy b/src/DynareBison.yy
index ca6ce508..f1a24547 100644
--- a/src/DynareBison.yy
+++ b/src/DynareBison.yy
@@ -73,7 +73,7 @@ class ParsingDriver;
}
%token AIM_SOLVER ANALYTIC_DERIVATION ANALYTIC_DERIVATION_MODE AR POSTERIOR_SAMPLING_METHOD
-%token BAYESIAN_IRF BETA_PDF BLOCK USE_CALIBRATION SILENT_OPTIMIZER
+%token BALANCED_GROWTH_TEST_TOL BAYESIAN_IRF BETA_PDF BLOCK USE_CALIBRATION SILENT_OPTIMIZER
%token BVAR_DENSITY BVAR_FORECAST NODECOMPOSITION DR_DISPLAY_TOL HUGE_NUMBER FIG_NAME WRITE_XLS
%token BVAR_PRIOR_DECAY BVAR_PRIOR_FLAT BVAR_PRIOR_LAMBDA INTERACTIVE SCREEN_SHOCKS STEADYSTATE
%token BVAR_PRIOR_MU BVAR_PRIOR_OMEGA BVAR_PRIOR_TAU BVAR_PRIOR_TRAIN DETAIL_PLOT TYPE
@@ -900,6 +900,7 @@ model_options : BLOCK { driver.block(); }
| o_linear
| PARALLEL_LOCAL_FILES EQUAL '(' parallel_local_filename_list ')'
| LINEAR_DECOMPOSITION { driver.linear_decomposition(); }
+ | BALANCED_GROWTH_TEST_TOL EQUAL non_negative_number { driver.balanced_growth_test_tol($3); }
;
model_options_list : model_options_list COMMA model_options
diff --git a/src/DynareFlex.ll b/src/DynareFlex.ll
index 111d07cb..b24d6a2f 100644
--- a/src/DynareFlex.ll
+++ b/src/DynareFlex.ll
@@ -706,6 +706,7 @@ DATE -?[0-9]+([ya]|m([1-9]|1[0-2])|q[1-4]|w([1-9]{1}|[1-4][0-9]|5[0-2]))
<DYNARE_BLOCK>periods {return token::PERIODS;}
<DYNARE_BLOCK>cutoff {return token::CUTOFF;}
<DYNARE_BLOCK>mfs {return token::MFS;}
+<DYNARE_BLOCK>balanced_growth_test_tol {return token::BALANCED_GROWTH_TEST_TOL;}
<DYNARE_BLOCK>gamma_pdf {return token::GAMMA_PDF;}
<DYNARE_BLOCK>beta_pdf {return token::BETA_PDF;}
<DYNARE_BLOCK>normal_pdf {return token::NORMAL_PDF;}
diff --git a/src/ParsingDriver.cc b/src/ParsingDriver.cc
index 2ecac4d6..0aea25ad 100644
--- a/src/ParsingDriver.cc
+++ b/src/ParsingDriver.cc
@@ -793,6 +793,12 @@ ParsingDriver::mfs(const string &value)
mod_file->static_model.mfs = val;
}
+void
+ParsingDriver::balanced_growth_test_tol(const string &value)
+{
+ mod_file->dynamic_model.balanced_growth_test_tol = stod(value);
+}
+
void
ParsingDriver::end_initval(bool all_values_required)
{
diff --git a/src/ParsingDriver.hh b/src/ParsingDriver.hh
index 42572adf..c944dc2c 100644
--- a/src/ParsingDriver.hh
+++ b/src/ParsingDriver.hh
@@ -356,6 +356,8 @@ public:
void cutoff(const string &value);
//! mfs option of model block
void mfs(const string &value);
+ //! balanced_growth_test_tol option of model block
+ void balanced_growth_test_tol(const string &value);
//! Sets the FILENAME for the initial value in initval
void initval_file(const string &filename);
//! Declares an endogenous variable
--
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