diff --git a/doc/dynare.texi b/doc/dynare.texi index 5191ab76055ccbec6be026b2c360ba91d0a08ffe..01155343cc3d37d0bfd727ee1af5ea0e9a8923ac 100644 --- a/doc/dynare.texi +++ b/doc/dynare.texi @@ -4968,7 +4968,7 @@ 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 6c37fd1a468cc7ac4e586075e727ffbc059950fd..fa9a3cf577972e4d97711eeb48c17578315e032b 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 34017e513f67f1fbb1e23a5824b40b420c03dde1..2aded2e6b98398ef3ac5142450a864d3a1c074c1 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!');