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
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
g_j are the "free parameters", with
aplus_j are the columns of
Aplus. The cross
Aplus restrictions require
W[j] to be non-zero.
The work will be going from the dynare file to producing
W[j]. You already produce
V[j], so producing
W[j] should not be to much more work.