Closes #1761 (Fixes for histval_initval_file)

matlab/histvalf.m

@@ -30,29 +30,6 @@ function [endo_histval, exo_histval, exo_det_histval] = histvalf(M, options)
 % You should have received a copy of the GNU General Public License
 % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
 
-if ~isfield(options, 'nobs') || isempty(options.nobs)
-    options.nobs = M.orig_maximum_lag;
-end
-
-if ~isfield(options, 'first_obs') || isempty(options.first_obs)
-    if isfield(options, 'first_simulation_period')
-        options.first_obs = options.first_simulation_period ...
-            - options.nobs;
-    else
-        options.first_obs = 1;
-    end
-elseif isfield(options, 'first_simulation_period')
-    nobs = options.first_simulation_period - opions_.first_obs;
-    if options.nobs ~= nobs
-        error(sprintf(['HISTVALF: first_obs = %d and', ...
-                       ' first_simulation_period = %d', ...
-                       ' don''t provide for the number of' ...
-                       ' lags in the model.'], ...
-                      options.first_obs, ...
-                      options.first_simulation_period))
-    end
-end
-
 series = histvalf_initvalf('HISTVAL', M, options);
 % capture the difference between stochastic and
 % perfect foresight setup

matlab/histvalf_initvalf.m

@@ -129,95 +129,143 @@ nobs0 = series.nobs;
 
 first_obs_ispresent = false;
 last_obs_ispresent = false;
-if isfield(options, 'first_obs')
-    i = options.first_obs;
-    if i < 1
-        error([caller, '_FILE: the first requested period is before available', ...
-               ' data.'])
-    elseif i > nobs0
-        error([caller, '_FILE: the first requested period is after available', ...
-               ' data.'])
-    end
-    first_obs = periods(i);
-    if nobs > 0
-        last_obs = first_obs + nobs - 1;
-        last_obs_ispresent = true;
+
+first_obs = periods(1);
+if isfield(options, 'first_obs') && ~isempty(options.first_obs)
+    if options.first_obs < 1
+        error([caller, '_FILE: first_obs must be a positive number'])
+    elseif options.first_obs > nobs0
+        error(sprintf([caller, '_FILE: first_obs = %d is larger than the number', ...
+                       ' of observations in the data file (%d)'], ...
+                      options.first_obs, nobs0))
+    elseif isfield(options, 'first_simulation_period')
+        if  options.first_obs == options.first_simulation_period ...
+                - M.orig_maximum_lag
+            first_obs = periods(options.first_obs);
+        else
+            error(sprintf([caller, '_FILE: first_obs = %d and', ...
+                           ' first_simulation_period = %d have values', ...
+                           ' inconsistent with a maximum lag of %d periods'], ...
+                          options.first_obs, options.first_simulation_period, ...
+                          M.orig_maximum_lag))
+        end
+    elseif isfield(options, 'firstsimulationperiod')
+        if  periods(options.first_obs) == options.firstsimulationperiod ...
+                - M.orig_maximum_lag
+            first_obs = periods(options.first_obs);
+        else
+            error(sprintf([caller, '_FILE: first_obs = %d and', ...
+                           ' first_simulation_period = %s have values', ...
+                           ' inconsistent with a maximum lag of %d periods'], ...
+                          options.first_obs, options.firstsimulationperiod, ...
+                          M.orig_maximum_lag))
+        end
+    else
+        first_obs = periods(options.first_obs);
     end
     first_obs_ispresent = true;
-elseif isfield(options, 'firstobs')
-    first_obs = options.firstobs; 
-    if nobs > 0
-        last_obs = first_obs + nobs - 1;
-        last_obs_ispresent = true;
+end
+
+if isfield(options, 'firstobs') && ~isempty(options.firstobs)
+    if isfield(options, 'first_simulation_period')
+        if  options.firstobs == periods(options.first_simulation_period) ...
+                - M.orig_maximum_lag
+            first_obs = options.firstobs;
+        else
+            error(sprintf([caller, '_FILE: first_obs = %s and', ...
+                           ' first_simulation_period = %d have values', ...
+                           ' inconsistent with a maximum lag of %d periods'], ...
+                          options.firstobs, options.first_simulation_period, ...
+                          M.orig_maximum_lag))
+        end
+    elseif isfield(options, 'firstsimulationperiod')
+        if  options.firstobs == options.firstsimulationperiod ...
+                - M.orig_maximum_lag
+            first_obs = options.firstobs;
+        else
+            error(sprintf([caller, '_FILE: firstobs = %s and', ...
+                           ' first_simulation_period = %s have values', ...
+                           ' inconsistent with a maximum lag of %d periods'], ...
+                          options.firstobs, options.firstsimulationperiod, ...
+                          M.orig_maximum_lag))
+        end
+    else
+        first_obs = options.firstobs;
     end
     first_obs_ispresent = true;
 end
 
-if last_obs_ispresent
-    if isfield(options, 'last_obs')
-        i = options.last_obs;
-        if i < 1
-            error([caller, '_FILE: the last requested period is before available', ...
-                   ' data.'])
-        elseif i > nobs0
-            error([caller, '_FILE: the last requested period is after available', ...
-                   ' data.'])
+if ~first_obs_ispresent
+    if isfield(options, 'first_simulation_period')
+        if options.first_simulation_period < M.orig_maximum_lag
+            error(sprintf([caller, '_FILE: first_simulation_period = %d', ...
+                           'must be larger than the maximum lag (%d)'], ...
+                          options.first_simulation_period, M.orig_maximum_lag))
+        elseif options.first_simulation_period > nobs0
+            error(sprintf([caller, '_FILE: first_simulations_period = %d', ...
+                           ' is larger than the number of observations in', ...
+                           ' the data file (%d)'], ...
+                          options.first_obs, nobs0))
+        else
+            first_obs = periods(options.first_simulation_period) - ...
+                M.orig_maximum_lag;
         end
-        if last_obs ~= periods(i) 
+        first_obs_ispresent = true;
+    elseif isfield(options, 'firstsimulationperiod')
+        first_obs = options.firstsimulationperiod - ...
+            M.orig_maximum_lag;
+        first_obs_ispresent = true;
+    end
+end
+
+if isfield(options, 'last_obs')
+    if options.last_obs > nobs0
+        error(sprintf([caller, '_FILE: last_obs = %d is larger than the number', ...
+                       ' of observations in the dataset (%d)'], ...
+                      options.last_obs, nobs0))
+    elseif first_obs_ispresent
+        if nobs > 0 && (periods(options.last_obs) ~= first_obs + nobs - 1)
             error([caller, '_FILE: FIST_OBS, LAST_OBS and NOBS contain', ...
                    ' inconsistent information. Use only two of these', ...
                    ' options.'])
-        end    
-    elseif isfield(options, 'lastobs')
-        if last_obs ~= options.lastobs 
+        else
+            last_obs = periods(options.last_obs);
+        end
+    else
+        last_obs = periods(options.last_obs);
+        if nobs > 0
+            first_obs = last_obs - nobs + 1;
+        else
+            first_obs = periods(1);
+        end
+    end
+elseif isfield(options, 'lastobs')
+    if options.lastobs > series.last
+        error(sprintf([caller, '_FILE: last_obs = %s is larger than the number', ...
+                       ' of observations in the dataset (%s)'], ...
+                      options.lastobs, series.last))
+    elseif first_obs_ispresent
+        if nobs > 0 && (options.lastobs ~= first_obs + nobs - 1)
             error([caller, '_FILE: FIST_OBS, LAST_OBS and NOBS contain', ...
                    ' inconsistent information. Use only two of these', ...
                    ' options.'])
-        end    
-    end
-elseif isfield(options, 'last_obs')
-    i = options.last_obs;
-    if i < 1
-        error([caller, '_FILE: the last requested period is before available', ...
-               ' data.'])
-    elseif i > nobs0
-        error([caller, '_FILE: the last requested period is after available', ...
-               ' data.'])
-    end
-    last_obs = periods(i);
-    if nobs > 0
-        first_obs = last_obs - nobs + 1;
-        first_obs_ispresent = true;
-    end
-    last_obs_ispresent = true;
-elseif isfield(options, 'lastobs')
-    last_obs = options.lastobs; 
-    if nobs > 0
-        first_obs = last_obs - nobs + 1;
-        first_obs_ispresent = true;
-    end
-    last_obs_ispresent = true;
-end
-
-if ~first_obs_ispresent
-    first_obs = periods(1);
-end
-
-if ~last_obs_ispresent
-    if nobs > 0
-        last_obs = first_obs + nobs - 1;
+        else
+            last_obs = options.lastobs;
+        end
     else
-        last_obs = periods(end);
+        last_obs = options.last_obs;
+        if nobs > 0
+            first_obs = last_obs - nobs + 1;
+        else
+            first_obs = periods(1);
+        end
     end
-end
-
-if first_obs < series.init
-    error([caller, '_FILE: the first requested period is before available', ...
-                    ' data.'])
-elseif last_obs > series.last
-    error([caller, '_FILE: the last requested period is after available', ...
-                    ' data.'])
+elseif nobs > 0
+    last_obs = first_obs + nobs - 1;
 else
-    series = series(first_obs:last_obs);
+    last_obs = series.last;
 end
 
+series = series(first_obs:last_obs);
+
+

tests/histval_initval_file/my_assert.m

 function failed_tests = my_assert(failed_tests, success, test_name)
 if ~success
-    failed_tests = cat(1, test_failed, test_name);
+    failed_tests = cat(1, failed_tests, test_name);
 end
\ No newline at end of file

tests/histval_initval_file/sim_exo_lead_lag_initvalf.mod

@@ -24,6 +24,12 @@ model;
 end;
 
 initval_file(series = ds);
+if oo_.initval_series.dates(1) ~= dates('1Y');
+  error("Wrong initial date in oo_.initval_series");
+end;
+if oo_.initval_series{'x'}.data(6) ~= 0.9;
+  error("Wrond value for x"); 
+end;
 
 perfect_foresight_setup(periods=200);
 perfect_foresight_solver(maxit=100);
@@ -42,6 +48,55 @@ data1(8, 6) = 0.9; //shock to x in period 2
 ds1 = dseries(data1, '1Y', {'c', 'cmav', 'k', 'z_backward', 'z_forward', 'x'});
 
 initval_file(series = ds1, first_obs = 3, last_obs = 210, nobs = 208);
+if oo_.initval_series.dates(1) ~= dates('3Y');
+  error("Wrong initial date in oo_.initval_series");
+end;
+if oo_.initval_series{'x'}.data(6) ~= 0.9;
+  error("Wrond value for x"); 
+end;
+
+
+perfect_foresight_setup(periods=200);
+perfect_foresight_solver(maxit=100);
+
+if ~oo_.deterministic_simulation.status
+   error('Perfect foresight simulation failed');
+end
+
+base_results=load('sim_exo_lead_lag_results.mat');
+if max(max(abs(base_results.oo_.endo_simul(1:5,:) - oo_.endo_simul(1:5,:)))) > 1e-8
+    error('Simulation with leads and lags doesn''t match the one with auxiliary variables')
+end
+
+initval_file(series = ds1, first_obs = 3Y, last_obs = 210Y, nobs = 208);
+if oo_.initval_series.dates(1) ~= dates('3Y');
+  error("Wrong initial date in oo_.initval_series");
+end;
+if oo_.initval_series{'x'}.data(6) ~= 0.9;
+  error("Wrond value for x"); 
+end;
+
+
+perfect_foresight_setup(periods=200);
+perfect_foresight_solver(maxit=100);
+
+if ~oo_.deterministic_simulation.status
+   error('Perfect foresight simulation failed');
+end
+
+base_results=load('sim_exo_lead_lag_results.mat');
+if max(max(abs(base_results.oo_.endo_simul(1:5,:) - oo_.endo_simul(1:5,:)))) > 1e-8
+    error('Simulation with leads and lags doesn''t match the one with auxiliary variables')
+end
+
+initval_file(series = ds1, first_simulation_period = 7);
+if oo_.initval_series.dates(1) ~= dates('3Y');
+  error("Wrong initial date in oo_.initval_series");
+end;
+if oo_.initval_series{'x'}.data(6) ~= 0.9;
+  error("Wrond value for x"); 
+end;
+
 
 perfect_foresight_setup(periods=200);
 perfect_foresight_solver(maxit=100);
@@ -54,3 +109,25 @@ base_results=load('sim_exo_lead_lag_results.mat');
 if max(max(abs(base_results.oo_.endo_simul(1:5,:) - oo_.endo_simul(1:5,:)))) > 1e-8
     error('Simulation with leads and lags doesn''t match the one with auxiliary variables')
 end
+
+initval_file(series = ds1, first_simulation_period = 7Y);
+if oo_.initval_series.dates(1) ~= dates('3Y');
+  error("Wrong initial date in oo_.initval_series");
+end;
+if oo_.initval_series{'x'}.data(6) ~= 0.9;
+  error("Wrond value for x"); 
+end;
+
+
+perfect_foresight_setup(periods=200);
+perfect_foresight_solver(maxit=100);
+
+if ~oo_.deterministic_simulation.status
+   error('Perfect foresight simulation failed');
+end
+
+base_results=load('sim_exo_lead_lag_results.mat');
+if max(max(abs(base_results.oo_.endo_simul(1:5,:) - oo_.endo_simul(1:5,:)))) > 1e-8
+    error('Simulation with leads and lags doesn''t match the one with auxiliary variables')
+end
+

tests/histval_initval_file_unit_tests.m

@@ -16,6 +16,7 @@ M.endo_names = {'Variable_1','Variable_2','Variable_3'};
 M.exo_nbr = 1;
 M.exo_names = {'Variable_4'};
 M.exo_det_nbr = 0;
+M.orig_maximum_lag = 2;
 
 caller = 'INITVAL';
 
@@ -88,9 +89,9 @@ try
     ds1 = histvalf_initvalf(caller, M, options);
     error('This test didn''t catch the error')
 catch me
-    if strcmp(me.message, ['INITVAL_FILE: FIST_OBS, LAST_OBS and NOBS contain', ...
-                           ' inconsistent information. Use only two of these', ...
-                           ' options.']) == false
+    if ~strcmp(me.message, strcat('INITVAL_FILE: FIST_OBS, LAST_OBS and NOBS contain', ...
+                                  ' inconsistent information. Use only two of these', ...
+                                  ' options.'))
         failed_tests = cat(1, failed_tests, 'Wrong nobs error message' );
     end
 end
@@ -98,14 +99,13 @@ num_tests = num_tests + 1;
 
 options = struct();
 options.series = ds;
-options.first_obs = -1;
+options.first_obs = 0;
 
 try
     ds1 = histvalf_initvalf(caller, M, options);
     error('This test didn''t catch the error')
 catch me
-    if strcmp(me.message, [caller, '_FILE: the first requested period is', ...
-                           ' before available data.']) == false
+    if ~strcmp(me.message, strcat(caller, '_FILE: first_obs must be a positive number'))
         failed_tests = cat(1, failed_tests, ...
                            'Wrong first period error message');
     end
@@ -120,8 +120,8 @@ try
     ds1 = histvalf_initvalf(caller, M, options);
     error('This test didn''t catch the error')
 catch me
-    if strcmp(me.message, [caller, '_FILE: the last requested period is', ...
-                           ' after available data.']) == false
+    if ~strcmp(me.message, strcat(caller, '_FILE: last_obs = 11 is larger than the number', ...
+                                  ' of observations in the dataset (10)'))
         failed_tests = cat(1, failed_tests, ...
                            'Wrong last period error message');
     end