Merge #1786.

Do not compute cholesky decomposition of H if the matrix has zeros on
the diagonal.

matlab/initial_estimation_checks.m

@@ -53,6 +53,9 @@ if DynareOptions.order>1
     end
     if Model.H==0
         error('initial_estimation_checks:: particle filtering requires measurement error on the observables')
+    else
+        if sum(diag(Model.H)>0)<length(DynareOptions.varobs)
+            error('initial_estimation_checks:: particle filtering requires as many measurement errors as observed variables')
         else
             [~,flag]=chol(Model.H);
             if flag
@@ -60,6 +63,7 @@ if DynareOptions.order>1
             end
         end
     end
+end
 
 non_zero_ME=length(EstimatedParameters.H_entries_to_check_for_positive_definiteness);