Time-varying structural vector autoregressions and monetary policy: a corrigendum

This note corrects a mistake in the estimation algorithm of the time-varying structural vector autoregression model of Primiceri (2005) and proposes a new algorithm that correctly applies the procedure proposed by Kim, Shephard, and Chib (1998) to the estimation of VAR or DSGE models with stochastic volatility. Relative to Primiceri (2005), the correct algorithm involves a different ordering of the various Markov Chain Monte Carlo steps.

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Year of publication:	2013
Authors:	Negro, Marco Del ; Primiceri, Giorgio
Institutions:	Federal Reserve Bank of New York
Subject:	Markov processes \| Regression analysis \| Econometric models

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Extent:	text/html application/pdf
Series:	Staff Reports.
Type of publication:	Book / Working Paper
Notes:	Number 619
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010659552