From 11b9eafa5409d0fbc9029f4ddfee6ca7a499e51f Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx,de>
Date: Fri, 11 Apr 2014 14:27:32 +0200
Subject: [PATCH] Add more info on requirement on dsge_var prior weight needed
for prior to be proper.
(cherry picked from commit 74fd0850d61f8ba464ff08ed42c4019d27722fb3)
(cherry picked from commit b69174477c1e0afbcc01ca8a1b63fa2014130418)
---
doc/dynare.texi | 2 +-
matlab/dsge_var_likelihood.m | 2 ++
matlab/print_info.m | 1 +
3 files changed, 4 insertions(+), 1 deletion(-)
diff --git a/doc/dynare.texi b/doc/dynare.texi
index f8a4908f4..a1282180b 100644
--- a/doc/dynare.texi
+++ b/doc/dynare.texi
@@ -4928,7 +4928,7 @@ distribution of IRFs. The length of the IRFs are controlled by the
@item dsge_var = @var{DOUBLE}
@anchor{dsge_var} Triggers the estimation of a DSGE-VAR model, where the
weight of the DSGE prior of the VAR model is calibrated to the value
-passed (see @cite{Del Negro and Schorfheide (2004)}). NB: The previous method
+passed (see @cite{Del Negro and Schorfheide (2004)}). It represents ratio of dummy over actual observations. To assure that the prior is proper, the value must be bigger than @math{(k+n)/T}, where @math{k} is the number of estimated parameters, @math{n} is the number of observables, and @math{T} is the number of observations. NB: The previous method
of declaring @code{dsge_prior_weight} as a parameter and then
calibrating it is now deprecated and will be removed in a future release
of Dynare.
diff --git a/matlab/dsge_var_likelihood.m b/matlab/dsge_var_likelihood.m
index 1177b4751..f2ee0b2e1 100644
--- a/matlab/dsge_var_likelihood.m
+++ b/matlab/dsge_var_likelihood.m
@@ -114,6 +114,8 @@ if dsge_prior_weight<(NumberOfParameters+NumberOfObservedVariables)/DynareDatase
fval = objective_function_penalty_base+abs(DynareDataset.info.ntobs*dsge_prior_weight-(NumberOfParameters+NumberOfObservedVariables));
exit_flag = 0;
info = 51;
+ info(2)=dsge_prior_weight;
+ info(3)=(NumberOfParameters+NumberOfObservedVariables)/DynareDataset.info.ntobs;
return
end
diff --git a/matlab/print_info.m b/matlab/print_info.m
index 791404390..38158dacd 100644
--- a/matlab/print_info.m
+++ b/matlab/print_info.m
@@ -105,6 +105,7 @@ if ~noprint
case 49
error('The model violates one (many) endogenous prior restriction(s)')
case 51
+ fprintf('\n The dsge_prior_weight is dsge_var=%5.4f, but must be at least %5.4f for the prior to be proper.\n',info(2),info(3));
error('You are estimating a DSGE-VAR model, but the value of the dsge prior weight is too low!')
case 52 %dsge_var_likelihood
error('You are estimating a DSGE-VAR model, but the implied covariance matrix of the VAR''s innovations is not positive definite!');
--
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