MS-SBVAR: Potentially allow for linear restrictions across A0 and Aplus (#1282) · Issues · Dynare / dynare

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.

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.

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