MS-SBVAR: Potentially allow for linear restrictions across A0 and Aplus
After a user inquiry at http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=9594, @dwaggoner replied with the following. The question is now whether we want to implement this?
The underlying C code can handle linear restrictions across A0
and Aplus
as long as they are not cross-equation. Also the restrictions must be linear, not affine, i.e. no non-zero constant. It seems like this is what the person is asking for. Also, this cannot be used with the Sims-Zha specification as that requires Aplus
to be unrestricted.
Each column (equation) of A0
and Aplus can be restricted to be of the form
a_j = U[j]*b_j
aplus_j = V[j]*g_j + W[j]*a_j
Here b_j
and g_j
are the "free parameters", with a_j
and aplus_j
are the columns of A0
and Aplus
. The cross A0
- Aplus
restrictions require W[j]
to be non-zero.
The work will be going from the dynare file to producing U[j]
, V[j]
, and W[j]
. You already produce U[j]
and V[j]
, so producing W[j]
should not be to much more work.