#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: | -----------------------------------------------------+---------------------- Currently there is no way of setting a set of constraints to irfs or moments of DSGE model to feed to some calibration procedure like Monte Carlo filtering in the sensitivity analysis toolbox.

Indeed the threshold_redform option in sensitivity analysis would only allow to set, e.g., the SAME sign constraint to a set of irfs, which is not very handy.

So, we may think to the following syntax for sign constraints in moments:

moment_calibration; y, y(-1), +; [i.e. auto-correlation with 1 lag] c, g(-3), +; [i.e. auto-correlation with generic lags] i, g, -; [i.e. cross-correlation, contemporaneous] end;

for irfs [y c i are endogenous, em eg are exogenous shocks]:

irf_calibration; y, em, -; c, eg, +; i, eg, -; end;

or the following for more detailed numeric boundaries, in principle mixed with simple sign constraints

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;

irf_calibration; y, em, [-0.01 0]; c, eg, [0 0.02]; i, eg, -; end;

The sign constraint can also be defined using [0 inf] for + [-inf 0] for -