MoM: Add option analytic_jacobian

src/ComputingTasks.cc

@@ -4761,12 +4761,22 @@ MethodOfMomentsStatement::checkPass(ModFileStructure &mod_file_struct, WarningCo
     if (auto it = options_list.num_options.find("mom.analytic_standard_errors");
         it != options_list.num_options.end() && it->second == "true")
       mod_file_struct.analytic_standard_errors_present = true;
-    
+
     if (!mod_file_struct.GMM_present && mod_file_struct.analytic_standard_errors_present)
       {
         cerr << "ERROR: The analytic_standard_errors statement requires the GMM option." << endl;
         exit(EXIT_FAILURE);
-      }              
+      }
+    
+    if (auto it = options_list.num_options.find("mom.analytic_jacobian");
+        it != options_list.num_options.end() && it->second == "true")
+      mod_file_struct.analytic_jacobian_present = true;
+    
+    if (!mod_file_struct.GMM_present && mod_file_struct.analytic_jacobian_present)
+      {
+        cerr << "ERROR: The analytic_jacobian statement requires the GMM option." << endl;
+        exit(EXIT_FAILURE);
+      }
 }
 
 void

src/DynareBison.yy

@@ -167,7 +167,7 @@ class ParsingDriver;
 %token RANDOM_FUNCTION_CONVERGENCE_CRITERION RANDOM_PARAMETER_CONVERGENCE_CRITERION
 /* Method of Moments */
 %token METHOD_OF_MOMENTS MOM_METHOD
-%token BARTLETT_KERNEL_LAG WEIGHTING_MATRIX WEIGHTING_MATRIX_SCALING_FACTOR ANALYTIC_STANDARD_ERRORS PENALIZED_ESTIMATOR VERBOSE 
+%token BARTLETT_KERNEL_LAG WEIGHTING_MATRIX WEIGHTING_MATRIX_SCALING_FACTOR ANALYTIC_STANDARD_ERRORS ANALYTIC_JACOBIAN PENALIZED_ESTIMATOR VERBOSE 
 %token SIMULATION_MULTIPLE MOM_SEED SEED BOUNDED_SHOCK_SUPPORT ADDITIONAL_OPTIMIZER_STEPS MOM_SE_TOLX SE_TOLX MOM_BURNIN BURNIN 
 %token EQTAGS STEADY_STATE_GROWTH
 %token ANALYTICAL_GIRF IRF_IN_PERCENT EMAS_GIRF EMAS_DROP EMAS_TOLF EMAS_MAX_ITER
@@ -1289,13 +1289,12 @@ method_of_moments_option : o_mom_method
                          | o_verbose
                          | o_weighting_matrix
                          | o_weighting_matrix_scaling_factor
-                         | o_analytic_standard_errors
-                         | o_additional_optimizer_steps
-                         | o_prefilter
+                         | o_mom_se_tolx
+                         | o_mom_burnin
                          | o_bounded_shock_support
                          | o_mom_seed
                          | o_simulation_multiple
-                         | o_mom_burnin
+                         | o_analytic_standard_errors
                          | o_dirname
                          | o_graph_format
                          | o_nodisplay
@@ -1307,13 +1306,15 @@ method_of_moments_option : o_mom_method
                          | o_first_obs
                          | o_logdata
                          | o_nobs
+                         | o_prefilter
                          | o_xls_sheet
                          | o_xls_range
-                         | o_huge_number
                          | o_mode_compute
+                         | o_additional_optimizer_steps
                          | o_optim
                          | o_silent_optimizer
-                         | o_mom_se_tolx
+                         | o_huge_number
+                         | o_analytic_jacobian
                          | o_aim_solver
                          | o_dr
                          | o_dr_cycle_reduction_tol
@@ -3710,6 +3711,8 @@ o_weighting_matrix_scaling_factor : WEIGHTING_MATRIX_SCALING_FACTOR EQUAL non_ne
 
 o_analytic_standard_errors : ANALYTIC_STANDARD_ERRORS { driver.option_num("mom.analytic_standard_errors", "true"); };
 
+o_analytic_jacobian : ANALYTIC_JACOBIAN { driver.option_num("mom.analytic_jacobian", "true"); };
+
 o_mom_method : MOM_METHOD EQUAL GMM
                { driver.option_str("mom.mom_method", "GMM"); }
              | MOM_METHOD EQUAL SMM

src/DynareFlex.ll

@@ -682,6 +682,7 @@ DATE -?[0-9]+([ya]|m([1-9]|1[0-2])|q[1-4])
 <DYNARE_STATEMENT>weighting_matrix {return token::WEIGHTING_MATRIX; }
 <DYNARE_STATEMENT>weighting_matrix_scaling_factor {return token::WEIGHTING_MATRIX_SCALING_FACTOR; }
 <DYNARE_STATEMENT>analytic_standard_errors {return token::ANALYTIC_STANDARD_ERRORS; }
+<DYNARE_STATEMENT>analytic_jacobian {return token::ANALYTIC_JACOBIAN; }
 <DYNARE_STATEMENT>mom_method {return token::MOM_METHOD; }
 <DYNARE_STATEMENT>penalized_estimator {return token::PENALIZED_ESTIMATOR; }
 <DYNARE_STATEMENT>verbose {return token::VERBOSE; }

src/ModFile.cc

@@ -752,7 +752,7 @@ ModFile::computingPass(bool no_tmp_terms, OutputType output, int params_derivs_o
 
           if (mod_file_struct.identification_present 
               || mod_file_struct.estimation_analytic_derivation
-              || (mod_file_struct.GMM_present && mod_file_struct.analytic_standard_errors_present))
+              || (mod_file_struct.GMM_present && (mod_file_struct.analytic_standard_errors_present || mod_file_struct.analytic_jacobian_present)))
             paramsDerivsOrder = params_derivs_order;
 
           static_model.computingPass(derivsOrder, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, bytecode);
@@ -786,7 +786,8 @@ ModFile::computingPass(bool no_tmp_terms, OutputType output, int params_derivs_o
                   exit(EXIT_FAILURE);
                 }
               int derivsOrder = max(mod_file_struct.order_option,mod_file_struct.identification_order + 1); // See preprocessor#40
-              if (mod_file_struct.GMM_present && mod_file_struct.analytic_standard_errors_present) //analytic standard errors require one order more
+              if (mod_file_struct.GMM_present 
+                  && (mod_file_struct.analytic_standard_errors_present || mod_file_struct.analytic_jacobian_present)) //analytic_standard_errors or analytic_jacobian require one order more
                 derivsOrder = max(mod_file_struct.order_option,
                                     max(mod_file_struct.identification_order,mod_file_struct.mom_order) + 1); // See preprocessor#40
 
@@ -797,7 +798,7 @@ ModFile::computingPass(bool no_tmp_terms, OutputType output, int params_derivs_o
               int paramsDerivsOrder = 0;
               if (mod_file_struct.identification_present 
                   || mod_file_struct.estimation_analytic_derivation
-                  || (mod_file_struct.GMM_present && mod_file_struct.analytic_standard_errors_present))
+                  || (mod_file_struct.GMM_present && (mod_file_struct.analytic_standard_errors_present || mod_file_struct.analytic_jacobian_present)))
                 paramsDerivsOrder = params_derivs_order;
               dynamic_model.computingPass(true, derivsOrder, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, bytecode, linear_decomposition);
               if (linear && mod_file_struct.ramsey_model_present)

src/Statement.hh

@@ -84,6 +84,8 @@ public:
   bool GMM_present{false};
   //! Whether an analytic_standard_errors-option is present
   bool analytic_standard_errors_present{false};
+  //! Whether an analytic_jacobian-option is present
+  bool analytic_jacobian_present{false};
   //! The maximum of the “order” option in method_of_moments statements
   int mom_order{0};
   //! Whether there is a calibrated measurement error