Preprocessor: replace exogenous with lead/lags by auxiliary variables in deterministic models

Several tests need to be adapted, because they were implicitly making the
assumption that there is no auxiliary variable.

Incidentally, this closes #1731. This commit therefore also removes the
workaround introduced in 0391dbbe.

doc/manual/source/the-model-file.rst

@@ -1137,9 +1137,8 @@ equations using the ``write_latex_static_model`` command.
         * Endogenous variables with leads or lags greater or equal
           than two will have been removed, replaced by new auxiliary
           variables and equations,
-        * For a stochastic model, exogenous variables with leads or
-          lags will also have been replaced by new auxiliary variables
-          and equations.
+        * Exogenous variables with leads or lags will also have been replaced
+          by new auxiliary variables and equations.
 
     For the required LaTeX packages, see
     :comm:`write_latex_original_model`.
@@ -1221,9 +1220,8 @@ auxiliary endogenous variables—along with corresponding auxiliary
 equations—which will appear in the final output.
 
 The main transformation concerns leads and lags. Dynare will perform a
-transformation of the model so that there is only one lead and one lag
-on endogenous variables and, in the case of a stochastic model, no
-leads/lags on exogenous variables.
+transformation of the model so that there is only one lead and one lag on
+endogenous variables and no leads/lags on exogenous variables.
 
 This transformation is achieved by the creation of auxiliary variables
 and corresponding equations. For example, if ``x(+2)`` exists in the

matlab/perfect-foresight-models/sim1_linear.m

@@ -38,7 +38,7 @@ function [endogenousvariables, info] = sim1_linear(endogenousvariables, exogenou
 % to center the variables around the deterministic steady state to solve the
 % perfect foresight model.
 
-% Copyright (C) 2015-2017 Dynare Team
+% Copyright (C) 2015-2020 Dynare Team
 %
 % This file is part of Dynare.
 %
@@ -159,16 +159,9 @@ for it = (maximum_lag+1):(maximum_lag+periods)
         nv = length(vv);
         iA(iv+m,:) = [i_rows(rr),i_cols_A(cc),vv];
     end
-    if M.maximum_exo_lag > 0
-        % needed as jacobian for lagged exogenous variables is wrong
-        % in current version of Dynare
-        zz = Y(i_cols);
-        res(i_rows) = dynamicmodel(zz, exogenousvariables, params, steadystate_y, it);
-    else
-        z(jendo) = Y(i_cols);
-        z(jexog) = transpose(exogenousvariables(it,:));
-        res(i_rows) = jacobian*z;
-    end
+    z(jendo) = Y(i_cols);
+    z(jexog) = transpose(exogenousvariables(it,:));
+    res(i_rows) = jacobian*z;
     m = m + nv;
     i_rows = i_rows + ny;
     i_cols = i_cols + ny;
@@ -251,4 +244,4 @@ end
 
 if verbose
     skipline();
-end
\ No newline at end of file
+end

preprocessor @ 9bca65c7

-Subproject commit 5d564eed071b009ae382440435ede70be163ca39
+Subproject commit 9bca65c7e525a2415fe46b27e8760208b22aba9d

tests/deterministic_simulations/multiple_lead_lags/sim_exo_lead_lag.mod

-// Same model as sim_exo_lead_lag_aux_vars.mod, but no auxiliary variables to deal with leads and lags
+// Same model as sim_exo_lead_lag_aux_vars.mod, but no user-crafted auxiliary variables to deal with leads and lags
 
 var c k z_forward z_backward;
 varexo x;
@@ -53,7 +53,7 @@ end
 clear base_results
 base_results_aux_vars=load('sim_exo_lead_lag_aux_vars_results.mat');
 
-if max(abs(base_results_aux_vars.oo_.endo_simul(strmatch('x_lag_3',base_results_aux_vars.M_.endo_names,'exact'),1:end-base_results_aux_vars.M_.maximum_lead-1)' -...
-    oo_.exo_simul(1:end-M_.maximum_lead-M_.maximum_lag,strmatch('x', M_.exo_names, 'exact'))))>1e-8 
+if max(abs(base_results_aux_vars.oo_.endo_simul(strmatch('x_lag_3',base_results_aux_vars.M_.endo_names,'exact'),base_results_aux_vars.M_.maximum_lag+3:end-base_results_aux_vars.M_.maximum_lead)' -...
+    oo_.exo_simul(M_.maximum_lag:end-M_.maximum_lead-3,strmatch('x', M_.exo_names, 'exact'))))>1e-8
     error('Translation of aux vars is wrong')
-end
\ No newline at end of file
+end

tests/deterministic_simulations/multiple_lead_lags/sim_lead_lag.mod

-// Same model as sim_lead_lag_aux_vars.mod, but no auxiliary variables to deal with leads and lags
+// Same model as sim_lead_lag_aux_vars.mod, but no user-crafted auxiliary variables to deal with leads and lags
 
 var c k z_forward z_backward;
 varexo x;
@@ -57,7 +57,7 @@ end
 clear base_results
 base_results_aux_vars=load('sim_lead_lag_aux_vars_results.mat');
 
-if max(abs(base_results_aux_vars.oo_.endo_simul(strmatch('x_lag_3',base_results_aux_vars.M_.endo_names,'exact'),1:end-base_results_aux_vars.M_.maximum_lead-1)' -...
-    oo_.exo_simul(1:end-M_.maximum_lead-M_.maximum_lag,strmatch('x', M_.exo_names, 'exact'))))>1e-8 
+if max(abs(base_results_aux_vars.oo_.endo_simul(strmatch('x_lag_3',base_results_aux_vars.M_.endo_names,'exact'),base_results_aux_vars.M_.maximum_lag+3:end-base_results_aux_vars.M_.maximum_lead)' -...
+    oo_.exo_simul(M_.maximum_lag:end-M_.maximum_lead-3,strmatch('x', M_.exo_names, 'exact'))))>1e-8
     error('Translation of aux vars is wrong')
-end
\ No newline at end of file
+end

tests/deterministic_simulations/rbc_det_exo_lag_2b.mod

@@ -81,4 +81,4 @@ rplot Capital;
 
 O=load('rbc_det_exo_lag_2a_results');
 
-fataltest(oo_.endo_simul(:,2:end),O.oo_.endo_simul,1);
+fataltest(oo_.endo_simul(1:M_.orig_endo_nbr,:),O.oo_.endo_simul(1:O.M_.orig_endo_nbr,:),1);

tests/deterministic_simulations/rbc_det_exo_lag_2c.mod

@@ -81,4 +81,4 @@ rplot Capital;
 
 O=load('rbc_det_exo_lag_2a_results');
 
-fataltest(oo_.endo_simul(:,2:end),O.oo_.endo_simul,1);
+fataltest(oo_.endo_simul(1:M_.orig_endo_nbr,:),O.oo_.endo_simul(1:O.M_.orig_endo_nbr,:),1);

tests/deterministic_simulations/rbc_det_stack_solve_algo_7_exo_lag.mod

@@ -83,8 +83,8 @@ rplot Capital;
 
 D = load('rbc_det_results');
 
-if norm(D.oo_.endo_simul(:,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(:,M_.maximum_lag+1:end-M_.maximum_lead)) > 1e-30;
-   disp(D.oo_.endo_simul(:,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(:,M_.maximum_lag+1:end-M_.maximum_lead));
+if norm(D.oo_.endo_simul(1:D.M_.orig_endo_nbr,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(1:M_.orig_endo_nbr,M_.maximum_lag+1:end-M_.maximum_lead)) > 1e-30;
+   disp(D.oo_.endo_simul(1:D.M_.orig_endo_nbr,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(1:M_.orig_endo_nbr,M_.maximum_lag+1:end-M_.maximum_lead));
    error('rbc_det_stack_solve_algo_7 failed');
 end;                       
 
@@ -109,8 +109,8 @@ if isoctave && options_.solve_algo==0
 else
     tol_crit=1e-8;    
 end
-if norm(D.oo_.endo_simul(:,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(:,M_.maximum_lag+1:end-M_.maximum_lead)) > tol_crit;
-    disp(D.oo_.endo_simul(:,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(:,M_.maximum_lag+1:end-M_.maximum_lead));
+if norm(D.oo_.endo_simul(1:D.M_.orig_endo_nbr,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(1:M_.orig_endo_nbr,M_.maximum_lag+1:end-M_.maximum_lead)) > tol_crit;
+    disp(D.oo_.endo_simul(1:D.M_.orig_endo_nbr,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(1:M_.orig_endo_nbr,M_.maximum_lag+1:end-M_.maximum_lead));
     error(sprintf('rbc_det_stack_solve_algo_7 failed with solve_algo=%u',options_.solve_algo));
 end;
-@#endfor
\ No newline at end of file
+@#endfor

tests/deterministic_simulations/rbc_det_stack_solve_algo_7_exo_lead.mod

@@ -83,8 +83,8 @@ rplot Capital;
 
 D = load('rbc_det_results');
 
-if norm(D.oo_.endo_simul(:,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(:,M_.maximum_lag+1:end-M_.maximum_lead)) > 1e-30;
-   disp(D.oo_.endo_simul(:,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(:,M_.maximum_lag+1:end-M_.maximum_lead));
+if norm(D.oo_.endo_simul(1:D.M_.orig_endo_nbr,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(1:M_.orig_endo_nbr,M_.maximum_lag+1:end-M_.maximum_lead)) > 1e-30;
+   disp(D.oo_.endo_simul(1:D.M_.orig_endo_nbr,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(1:M_.orig_endo_nbr,M_.maximum_lag+1:end-M_.maximum_lead));
    error('rbc_det_stack_solve_algo_7 failed');
 end;                       
 
@@ -109,8 +109,8 @@ if isoctave && options_.solve_algo==0
 else
     tol_crit=1e-8;    
 end
-if norm(D.oo_.endo_simul(:,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(:,M_.maximum_lag+1:end-M_.maximum_lead)) > tol_crit;
-    disp(D.oo_.endo_simul(:,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(:,M_.maximum_lag+1:end-M_.maximum_lead));
+if norm(D.oo_.endo_simul(1:D.M_.orig_endo_nbr,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(1:M_.orig_endo_nbr,M_.maximum_lag+1:end-M_.maximum_lead)) > tol_crit;
+    disp(D.oo_.endo_simul(1:D.M_.orig_endo_nbr,D.M_.maximum_lag+1:end-D.M_.maximum_lead) - oo_.endo_simul(1:M_.orig_endo_nbr,M_.maximum_lag+1:end-M_.maximum_lead));
     error(sprintf('rbc_det_stack_solve_algo_7 failed with solve_algo=%u',options_.solve_algo));
 end;
-@#endfor
\ No newline at end of file
+@#endfor

tests/histval_initval_file/ramst_data.mod

@@ -36,8 +36,8 @@ perfect_foresight_solver;
 
 fh = fopen('ramst_data.m', 'w');
 fprintf(fh, 'INIT__ = ''1Y'';\n');
-fprintf(fh, 'NAMES__ = {''c'', ''k'', ''x''};\n');
-fprintf(fh, 'TEX__ = {''c'', ''k'', ''x''};\n');
+fprintf(fh, 'NAMES__ = {''c''; ''k''; ''x''};\n');
+fprintf(fh, 'TEX__ = {''c''; ''k''; ''x''};\n');
 fprintf(fh, 'c = [');
 fprintf(fh, '%f ', oo_.endo_simul(1,:));
 fprintf(fh, '];\n');
@@ -50,8 +50,8 @@ fprintf(fh, '];\n');
 fclose(fh);
 
 INIT__ = '1Y';
-NAMES__ = {'c', 'k', 'x'};
-TEX__  = {'c', 'k', 'x'};
+NAMES__ = {'c'; 'k'; 'x'};
+TEX__  = {'c'; 'k'; 'x'};
 eval('c = oo_.endo_simul(1,:);');
 eval('k = oo_.endo_simul(2,:);');
 eval('x = oo_.exo_simul'';');
@@ -61,7 +61,7 @@ save('ramst_data.mat', 'INIT__', 'NAMES__', ...
 fh = fopen('ramst_data.csv', 'w');
 fprintf(fh, 'c,k,x\n');
 for i = 1:size(oo_.endo_simul, 2);
-  fprintf(fh, '%f, ', oo_.endo_simul(:, i));
+  fprintf(fh, '%f, ', oo_.endo_simul(1:M_.orig_endo_nbr, i));
   fprintf(fh, '%f\n', oo_.exo_simul(i));
 end;
 fclose(fh);