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function [info, info_irf, info_moment, data_irf, data_moment] = endogenous_prior_restrictions(T,R,Model,DynareOptions,DynareResults)
% Check for prior (sign) restrictions on irf's and theoretical moments
%
% INPUTS
% T [double] n*n state space matrix
% R [double] n*k matrix of shocks
% Model [structure]
% DynareOptions [structure]
% DynareResults [structure]
% OUTPUTS
% info [double] check if prior restrictions are matched by the
% model and related info
% info_irf [double] array of test checks for all individual irf restrictions
% info_moment [double] array of test checks for all individual moment restrictions
%
% Copyright (C) 2013-2017 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
info=[0 0];
info_irf=[];
info_moment=[];
data_irf=[];
data_moment=[];
endo_prior_restrictions.irf= DynareOptions.endogenous_prior_restrictions.irf;
endo_prior_restrictions.moment= DynareOptions.endogenous_prior_restrictions.moment;
if ~isempty(endo_prior_restrictions.irf)
data_irf=cell(size(endo_prior_restrictions.irf,1),1);
if DynareOptions.order>1
error('The algorithm for prior (sign) restrictions on irf''s is currently restricted to first-order decision rules')
return
end
varlist=Model.endo_names(DynareResults.dr.order_var,:);
if isempty(T)
[T,R,SteadyState,infox,Model,DynareOptions,DynareResults] = dynare_resolve(Model,DynareOptions,DynareResults);
else % check if T and R are given in the restricted form!!!
if size(T,1)<size(varlist,1)
varlist=varlist(DynareResults.dr.restrict_var_list,:);
end
% check if endo_prior_restrictions.irf{:,1} variables are in varlist
varlistok=1;
for j=1:size(endo_prior_restrictions.irf,1)
if isempty(strmatch(endo_prior_restrictions.irf{j,1},varlist,'exact'))
varlistok=0;
end
end
if ~varlistok
varlist=Model.endo_names(DynareResults.dr.order_var,:);
[T,R,SteadyState,infox,Model,DynareOptions,DynareResults] = dynare_resolve(Model,DynareOptions,DynareResults);
end
end
NT=1;
for j=1:size(endo_prior_restrictions.irf,1)
NT=max(NT,max(endo_prior_restrictions.irf{j,3}));
end
info_irf=ones(size(endo_prior_restrictions.irf,1),2);
for t=1:NT
if ~DynareOptions.relative_irf
RR = T^(t-1)*R*diag(sqrt(diag(Model.Sigma_e)));
else
RR = T^(t-1)*R*100;
end
for j=1:size(endo_prior_restrictions.irf,1)
if endo_prior_restrictions.irf{j,3}~=t
continue
end
iendo=strmatch(endo_prior_restrictions.irf{j,1},varlist,'exact');
iexo=strmatch(endo_prior_restrictions.irf{j,2},Model.exo_names,'exact');
data_irf{j}=[data_irf{j}; [t RR(iendo,iexo)]];
if (RR(iendo,iexo)>endo_prior_restrictions.irf{j,4}(1)) && (RR(iendo,iexo)<endo_prior_restrictions.irf{j,4}(2))
info_irf(j,:)=info_irf(j,:).*[0, 0];
else
if RR(iendo,iexo)<endo_prior_restrictions.irf{j,4}(1)
delt = (RR(iendo,iexo)-endo_prior_restrictions.irf{j,4}(1))^2;
else
delt = (RR(iendo,iexo)-endo_prior_restrictions.irf{j,4}(2))^2;
end
info_irf(j,:)=info_irf(j,:).*[49, delt];
end
end
end
if any(info_irf)
info=[49,sum(info_irf(:,2))];
end
end
if ~isempty(endo_prior_restrictions.moment)
if DynareOptions.order>1
error('The algorithm for prior (sign) restrictions on moments is currently restricted to first-order decision rules')
return
end
data_moment=cell(size(endo_prior_restrictions.moment,1),1);
var_list_=endo_prior_restrictions.moment{1,1};
for j=1:size(endo_prior_restrictions.moment,1)
tmp=endo_prior_restrictions.moment{j,1};
if ~ismember(tmp,cellstr(var_list_))
var_list_ = char(var_list_, tmp);
end
tmp=endo_prior_restrictions.moment{j,2};
if ~ismember(tmp,cellstr(var_list_))
var_list_ = char(var_list_, tmp);
end
end
NTmax=0;
NTmin=0;
for j=1:size(endo_prior_restrictions.moment,1)
NTmax=max(NTmax,max(endo_prior_restrictions.moment{j,3}));
NTmin=min(NTmin,min(endo_prior_restrictions.moment{j,3}));
end
info_moment=ones(size(endo_prior_restrictions.moment,1),2);
nvar = size(var_list_,1);
ivar=zeros(nvar,1);
for i=1:nvar
i_tmp = strmatch(var_list_(i,:),Model.endo_names,'exact');
if isempty(i_tmp)
error (['One of the variable specified does not exist'])
else
ivar(i) = i_tmp;
end
end
DynareOptions.ar = max(abs(NTmin),NTmax);
[gamma_y,stationary_vars] = th_autocovariances(DynareResults.dr, ivar, Model, DynareOptions,1);
for t=NTmin:NTmax
RR = gamma_y{abs(t)+1};
if t==0
RR = RR./(sqrt(diag(RR))*sqrt(diag(RR))')-eye(nvar)+diag(diag(gamma_y{t+1})); % becomes correlation
end
for j=1:size(endo_prior_restrictions.moment,1)
if endo_prior_restrictions.moment{j,3}~=t
continue
end
iendo1 = strmatch(endo_prior_restrictions.moment{j,1},var_list_,'exact');
iendo2 = strmatch(endo_prior_restrictions.moment{j,2},var_list_,'exact');
if t>0
tmp0 = iendo1;
iendo1=iendo2;
iendo2=tmp0;
end
data_moment{j}=[data_moment{j}; [t RR(iendo1,iendo2)]];
if (RR(iendo1,iendo2)>endo_prior_restrictions.moment{j,4}(1)) && (RR(iendo1,iendo2)<endo_prior_restrictions.moment{j,4}(2))
info_moment(j,:)=info_moment(j,:).*[0, 0];
else
if RR(iendo1,iendo2)<endo_prior_restrictions.moment{j,4}(1)
delt = (RR(iendo1,iendo2)-endo_prior_restrictions.moment{j,4}(1))^2;
else
delt = (RR(iendo1,iendo2)-endo_prior_restrictions.moment{j,4}(2))^2;
end
info_moment(j,:)=info_moment(j,:).*[49, delt];
end
end
end
if any(info_moment)
info=[49, info(2) + sum(info_moment(:,2))];
end
end
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