Merge branch 'analytic_standard_errors' into 'master'

GMM: introduce option analytic_standard_errors

See merge request Dynare/preprocessor!28

src/ComputingTasks.cc

@@ -4738,20 +4738,35 @@ MethodOfMomentsStatement::checkPass(ModFileStructure &mod_file_struct, WarningCo
       if (order > 2)
         mod_file_struct.k_order_solver = true;
 
+      mod_file_struct.mom_order = order;
       mod_file_struct.order_option = max(mod_file_struct.order_option, order);
     }
 
     if (options_list.string_options.find("datafile") == options_list.string_options.end())
-    {
-      cerr << "ERROR: The method_of_moments statement requires a data file to be supplied via the datafile option." << endl;
-      exit(EXIT_FAILURE);
-    }
+      {
+        cerr << "ERROR: The method_of_moments statement requires a data file to be supplied via the datafile option." << endl;
+        exit(EXIT_FAILURE);
+      }
 
     if (options_list.string_options.find("mom.mom_method") == options_list.string_options.end())
-    {
-      cerr << "ERROR: The method_of_moments statement requires a method to be supplied via the mom_method option. Possible values are GMM or SMM." << endl;
-      exit(EXIT_FAILURE);
-    }
+      {
+        cerr << "ERROR: The method_of_moments statement requires a method to be supplied via the mom_method option. Possible values are GMM or SMM." << endl;
+        exit(EXIT_FAILURE);
+      }
+ 
+    if (auto it = options_list.string_options.find("mom.mom_method");
+        it != options_list.string_options.end() && it->second == "GMM")
+      mod_file_struct.GMM_present = true;     
+
+    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);
+      }              
 }
 
 void

src/DynareBison.yy

@@ -141,8 +141,8 @@ class ParsingDriver;
 %token VLISTLOG VLISTPER SPECTRAL_DENSITY INIT2SHOCKS
 %token RESTRICTION RESTRICTION_FNAME CROSS_RESTRICTIONS NLAGS CONTEMP_REDUCED_FORM REAL_PSEUDO_FORECAST
 %token DUMMY_OBS NSTATES INDXSCALESSTATES NO_BAYESIAN_PRIOR SPECIFICATION SIMS_ZHA
-%token <string> ALPHA BETA ABAND NINV CMS NCMS CNUM GAMMA INV_GAMMA INV_GAMMA1 INV_GAMMA2 NORMAL UNIFORM EPS PDF FIG DR NONE PRIOR PRIOR_VARIANCE HESSIAN IDENTITY_MATRIX DIRICHLET DIAGONAL OPTIMAL GMM SMM
-%token GSIG2_LMDM Q_DIAG FLAT_PRIOR NCSK NSTD WEIBULL WEIBULL_PDF
+%token <string> ALPHA BETA ABAND NINV CMS NCMS CNUM GAMMA INV_GAMMA INV_GAMMA1 INV_GAMMA2 NORMAL UNIFORM EPS PDF FIG DR NONE PRIOR PRIOR_VARIANCE HESSIAN IDENTITY_MATRIX DIRICHLET DIAGONAL OPTIMAL
+%token GSIG2_LMDM Q_DIAG FLAT_PRIOR NCSK NSTD WEIBULL WEIBULL_PDF GMM SMM
 %token INDXPARR INDXOVR INDXAP APBAND INDXIMF INDXFORE FOREBAND INDXGFOREHAT INDXGIMFHAT
 %token INDXESTIMA INDXGDLS EQ_MS FILTER_COVARIANCE FILTER_DECOMPOSITION SMOOTHED_STATE_UNCERTAINTY
 %token EQ_CMS TLINDX TLNUMBER RESTRICTIONS POSTERIOR_SAMPLER_OPTIONS
@@ -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 PENALIZED_ESTIMATOR VERBOSE 
+%token BARTLETT_KERNEL_LAG WEIGHTING_MATRIX WEIGHTING_MATRIX_SCALING_FACTOR ANALYTIC_STANDARD_ERRORS 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
@@ -1289,6 +1289,7 @@ 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_bounded_shock_support
@@ -3704,10 +3705,12 @@ o_weighting_matrix : WEIGHTING_MATRIX EQUAL vec_str { driver.option_vec_cellstr(
 
 o_weighting_matrix_scaling_factor : WEIGHTING_MATRIX_SCALING_FACTOR EQUAL non_negative_number { driver.option_num("mom.weighting_matrix_scaling_factor", $3); };
 
+o_analytic_standard_errors : ANALYTIC_STANDARD_ERRORS { driver.option_num("mom.analytic_standard_errors", "true"); };
+
 o_mom_method : MOM_METHOD EQUAL GMM
-               { driver.option_str("mom.mom_method", $3); }
+               { driver.option_str("mom.mom_method", "GMM"); }
              | MOM_METHOD EQUAL SMM
-               { driver.option_str("mom.mom_method", $3); }                    
+               { driver.option_str("mom.mom_method", "SMM"); }                    
              ;
 o_penalized_estimator : PENALIZED_ESTIMATOR { driver.option_num("mom.penalized_estimator", "true"); };
 o_verbose : VERBOSE { driver.option_num("mom.verbose", "true"); };

src/DynareFlex.ll

@@ -686,6 +686,7 @@ 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>mom_method {return token::MOM_METHOD; }
 <DYNARE_STATEMENT>penalized_estimator {return token::PENALIZED_ESTIMATOR; }
 <DYNARE_STATEMENT>verbose {return token::VERBOSE; }

src/ModFile.cc

@@ -748,10 +748,13 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, int params_deri
           int derivsOrder = 1;
           int paramsDerivsOrder = 0;
           if (mod_file_struct.identification_present || mod_file_struct.estimation_analytic_derivation)
-            {
-              derivsOrder = 2;
-              paramsDerivsOrder = params_derivs_order;
-            }
+            derivsOrder = 2;
+
+          if (mod_file_struct.identification_present 
+              || mod_file_struct.estimation_analytic_derivation
+              || (mod_file_struct.GMM_present && mod_file_struct.analytic_standard_errors_present))
+            paramsDerivsOrder = params_derivs_order;
+
           static_model.computingPass(derivsOrder, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, bytecode);
         }
       // Set things to compute for dynamic model
@@ -775,14 +778,19 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, int params_deri
                   cerr << "ERROR: Incorrect order option..." << endl;
                   exit(EXIT_FAILURE);
                 }
-              int derivsOrder = max(mod_file_struct.order_option,
-                                    mod_file_struct.identification_order + 1); // See preprocessor#40
+              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
+                derivsOrder = max(mod_file_struct.order_option,
+                                    max(mod_file_struct.identification_order,mod_file_struct.mom_order) + 1); // See preprocessor#40
+
               if (mod_file_struct.sensitivity_present || linear || output == FileOutputType::second)
                 derivsOrder = max(derivsOrder, 2);
               if (mod_file_struct.estimation_analytic_derivation || output == FileOutputType::third)
                 derivsOrder = max(derivsOrder, 3);
               int paramsDerivsOrder = 0;
-              if (mod_file_struct.identification_present || mod_file_struct.estimation_analytic_derivation)
+              if (mod_file_struct.identification_present 
+                  || mod_file_struct.estimation_analytic_derivation
+                  || (mod_file_struct.GMM_present && mod_file_struct.analytic_standard_errors_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

@@ -80,6 +80,12 @@ public:
   bool k_order_solver{false};
   //! Whether an method_of_moments statement is present
   bool mom_estimation_present{false};
+  //! Whether an GMM-option is present
+  bool GMM_present{false};
+  //! Whether an analytic_standard_errors-option is present
+  bool analytic_standard_errors_present{false};
+  //! The maximum of the “order” option in method_of_moments statements
+  int mom_order{0};
   //! Whether there is a calibrated measurement error
   bool calibrated_measurement_errors{false};
   //! Whether dsge_prior_weight was initialized as a parameter