I understand that one can restrict the domain of a parameter to be estimated in Dynare using the options provided while specifying the priors.
I was wondering though if it is possible to restrict the domain of a parameter to be estimated using a function? The ability to use a function is necessary for me because the restriction will be dependent on some other parameters (to be estimated) of the model.
There is no syntax for this. I would try to do this using a external function in the model block. For instance, suppose that we want to estimate parameters a, b, c and d and that parameter a’s domain is constrained by the values of b, c and d. We define the priors as usual, but replace all the instances of parameter a in the model by FUN(a,b,c,d). Where FUN is a declared external function returning a if the constraints are satisfied and something else (to be defined) otherwise. The problem of course is that the prior density is not summing up to one but we don’t care as long as we do not compare models with the marginal density of the sample.