From 4db598e91fec3f04839847ee0c76e25f6f3dbe11 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx,de>
Date: Thu, 30 Jan 2014 10:07:41 +0100
Subject: [PATCH] Filter out inconsistent specification of prefiltering when
observation equation is not mean zero (cherry picked from commit
d82252e805c007a99de353e49d1a3fa2f961d748)
---
matlab/dynare_estimation_init.m | 19 +++++++++++--------
1 file changed, 11 insertions(+), 8 deletions(-)
diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m
index bddfbaa0c..a1b61eb3f 100644
--- a/matlab/dynare_estimation_init.m
+++ b/matlab/dynare_estimation_init.m
@@ -93,12 +93,6 @@ elseif isempty(options_.qz_criterium)
options_.qz_criterium = 1+1e-6;
end
-% If the data are prefiltered then there must not be constants in the
-% measurement equation of the DSGE model or in the DSGE-VAR model.
-if options_.prefilter == 1
- options_.noconstant = 1;
-end
-
% Set options related to filtered variables.
if ~isequal(options_.filtered_vars,0) && isempty(options_.filter_step_ahead)
options_.filter_step_ahead = 1;
@@ -478,7 +472,7 @@ dataset_ = initialize_dataset(options_.datafile,options_.varobs,options_.first_o
options_.nobs = dataset_.info.ntobs;
-% setting noconstant option
+% setting steadystate_check_flag option
if options_.diffuse_filter
steadystate_check_flag = 0;
else
@@ -498,4 +492,13 @@ if all(abs(oo_.steady_state(bayestopt_.mfys))<1e-9)
options_.noconstant = 1;
else
options_.noconstant = 0;
-end
\ No newline at end of file
+ % If the data are prefiltered then there must not be constants in the
+ % measurement equation of the DSGE model or in the DSGE-VAR model.
+ if options_.prefilter == 1
+ fprintf('\nestimation_init: You have specified the option "prefilter" to demean your data,\n')
+ fprintf('estimation_init: but your observation equations are not mean zero. Either change your observation\n')
+ fprintf('estimation_init: equation or drop the prefiltering.\n')
+ error('The option "prefilter" is inconsistent with the non-zero mean measurement equations in the model.')
+ end
+end
+
--
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