Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

Marco Del Negro and Giorgio Primiceri

The Review of Economic Studies, 2015, vol. 82, issue 4, 1342-1345

Abstract: This note shows how to apply the procedure of Kim et al. (1998) to the estimation of VAR, DSGE, factor, and unobserved components models with stochastic volatility. In particular, it revisits the estimation algorithm of the time-varying VAR model of Primiceri (2005). The main difference of the new algorithm is the ordering of the various MCMC steps, with each individual step remaining the same.

Keywords: Bayesian Methods; Time-varying Volatility (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (250)

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Working Paper: Time-Varying Structural Vector Autoregressions and Monetary Policy: a Corrigendum (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:82:y:2015:i:4:p:1342-1345.

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