#267: design an interface for assigning moment/irf contraints (e.g. sign constraints) -----------------------------------------------------+---------------------- Reporter: ratto | Owner: sebastien Type: feature | Status: new Priority: major | Milestone: 5.0 Component: Identification and sensitivity analysis | Version: Keywords: | -----------------------------------------------------+----------------------
Comment(by ratto):
For irf_calibration we may also allow to specify in which period after the shock we want to apply the constraint (on impact, after 4 periods etc. )
The syntax should produce fields in options_ like
options_.moment_calibration = {first-endogenous (string), second- endogenous (string), lag-of-second-endogenous (int), value-of-the- contraint (1x2 real array)}
or
options_.irf_calibration = {endogenous (char), exogenous (char), period, value-of-the-contraint (1x2 real array)}
Example 1:
moment_calibration; y, y(-1), [0.5 1]; [auto-correlation with 1 lag] c, g(-3), +; [auto-correlation with generic lags] i, g, [-1, -0.5]; [cross-correlation, contemporaneous] end;
would translate to
options_.moment_calibration = { 'y', 'y', 1, [0.5 1]; 'c', 'g', 3, [0 inf]; 'i', 'g', 0, [-1 -0.5]; }
Example 2: (where the first constraint applies after 4 periods in the irf; the default would be 1, i.e. on impact)
irf_calibration; y(4), em, [-0.01 0]; c, eg, [0 0.02]; i, eg, -; end;
would translate to
options_.irf_calibration = { 'y', 'em', 4, [-0.01 0]; 'c', 'eg', 1, [0 0.02]; 'i', 'eg', 1, [-inf 0]; }