diff --git a/matlab/identification_analysis.m b/matlab/identification_analysis.m
index 902761f29..855c16049 100644
--- a/matlab/identification_analysis.m
+++ b/matlab/identification_analysis.m
@@ -87,7 +87,9 @@ if info(1)==0,
     if init,
         indJJ = (find(max(abs(JJ'),[],1)>1.e-8));
         if isempty(indJJ) && any(any(isnan(JJ)))
-            error('identification_analysis: There are NaN in the JJ matrix. Please check whether your model has units roots and you forgot to set diffuse_filter=1.' )
+            error('There are NaN in the JJ matrix. Please check whether your model has units roots and you forgot to set diffuse_filter=1.' )
+        elseif any(any(isnan(gam)))
+            error('There are NaN''s in the theoretical moments: make sure that for non-stationary models stationary transformations of non-stationary observables are used for checking identification. [TIP: use first differences].')
         end
         while length(indJJ)<nparam && nlags<10,
             disp('The number of moments with non-zero derivative is smaller than the number of parameters')