If a DSGE-VAR is estimated, check that the user do not try to estimate/calibrate correlations between structural innovations and that there is no measurement errors. Closes #521.

matlab/DsgeVarLikelihood.m

@@ -35,7 +35,6 @@ function [fval,grad,hess,exit_flag,info,PHI,SIGMAu,iXX,prior] = DsgeVarLikelihoo
 % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
 
 global objective_function_penalty_base
-% Declaration of the persistent variables.
 persistent dsge_prior_weight_idx
 
 grad=[];
@@ -53,11 +52,7 @@ if isempty(dsge_prior_weight_idx)
 end
 
 % Get the number of estimated (dsge) parameters.
-ns = EstimatedParameters.nvx + ...
-     EstimatedParameters.nvn + ...
-     EstimatedParameters.ncx + ...
-     EstimatedParameters.ncn;
-nx = ns + EstimatedParameters.np;
+nx = EstimatedParameters.nvx + EstimatedParameters.np;
 
 % Get the number of observed variables in the VAR model.
 NumberOfObservedVariables = DynareDataset.info.nvobs;
@@ -107,20 +102,6 @@ for i=1:EstimatedParameters.nvx
 end
 offset = EstimatedParameters.nvx;
 
-% Check that the user does not estimate measurment errors.
-% TODO Check that the user does not declare non estimated measurement errors...
-if EstimatedParameters.nvn
-    disp('DsgeVarLikelihood :: Measurement errors are not implemented!')
-    return
-end
-
-% Check that the user does not estimate off diagonal elements in the covariance matrix of the structural innovation.
-% TODO Check that Q is a diagonal matrix...
-if EstimatedParameters.ncx
-    disp('DsgeVarLikelihood :: Correlated structural innovations are not implemented!')
-    return
-end
-
 % Update Model.params and Model.Sigma_e.
 Model.params(EstimatedParameters.param_vals(:,1)) = xparam1(offset+1:end);
 Model.Sigma_e = Q;
@@ -169,10 +150,6 @@ else
     constant = zeros(1,NumberOfObservedVariables);
 end
 
-% Dsge-VAR with deterministic trends is not implemented
-if BayesInfo.with_trend == 1
-    error('DsgeVarLikelihood :: Linear trend is not yet implemented!')
-end
 
 %------------------------------------------------------------------------------
 % 3. theoretical moments (second order)
@@ -224,7 +201,7 @@ if ~isinf(dsge_prior_weight)% Evaluation of the likelihood of the dsge-var model
     tmp1 = dsge_prior_weight*DynareDataset.info.ntobs*GYX + mYX;
     tmp2 = inv(dsge_prior_weight*DynareDataset.info.ntobs*GXX+mXX);
     SIGMAu = tmp0 - tmp1*tmp2*tmp1'; clear('tmp0');
-    [SIGMAu_is_positive_definite, penalty] = ispd(SIGMAu)
+    [SIGMAu_is_positive_definite, penalty] = ispd(SIGMAu);
     if ~SIGMAu_is_positive_definite
         fval = objective_function_penalty_base + penalty;
         info = 52;

matlab/check_dsge_var_model.m

@@ -0,0 +1,44 @@
+function check_dsge_var_model(Model, EstimatedParameters, BayesInfo)
+
+% Check if the dsge model can be estimated with the DSGE-VAR approach.
+
+% Copyright (C) 2013 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
+
+if EstimatedParameters.nvn
+    error('DsgeVarLikelihood:: Measurement errors are not allowed!')
+end
+
+if EstimatedParameters.ncn
+    error('DsgeVarLikelihood:: Measurement errors are not allowed!')
+end
+
+if any(vec(Model.H))
+    error('DsgeVarLikelihood:: Measurement errors are not allowed!')
+end
+
+if EstimatedParameters.ncx
+    error('DsgeVarLikelihood:: Structural innovations cannot be correlated using Dynare''s interface! Introduce the correlations in the model block instead.')
+end
+
+if Model.exo_nbr>1 && any(vec(tril(Model.Sigma_e,-1)))
+    error('DsgeVarLikelihood:: Structural innovations cannot be correlated using Dynare''s interface! Introduce the correlations in the model block instead.')
+end
+
+if isequal(BayesInfo.with_trend,1)
+    error('DsgeVarLikelihood :: Linear trend is not yet implemented!')
+end

matlab/dynare_estimation_1.m

@@ -80,6 +80,10 @@ end
 
 [dataset_,xparam1, hh, M_, options_, oo_, estim_params_,bayestopt_] = dynare_estimation_init(var_list_, dname, [], M_, options_, oo_, estim_params_, bayestopt_);
 
+if options_.dsge_var
+    check_dsge_var_model(M_, estim_params_, bayestopt_);
+end
+
 %check for calibrated covariances before updating parameters
 if ~isempty(estim_params_)
     estim_params_=check_for_calibrated_covariances(xparam1,estim_params_,M_);