make: check if APPLICATION is set

Fixes #1282.

Makefile.include

@@ -129,6 +129,9 @@ ifeq (,$(UNZIP_HERE))
   endif
 endif
 
+ifeq (, ${APPLICATION})
+    $(error An application name must be specified as APPLICATION.)
+endif
 ifneq (0,$(shell test -d $(RIOTBOARD)/$(BOARD); echo $$?))
     $(error The specified board $(BOARD) does not exist.)
 endif