Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

Marco Del Negro, Giorgio E. Primiceri*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

64 Scopus citations

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.

Original languageEnglish (US)
Article numberrdv024
Pages (from-to)1342-1345
Number of pages4
JournalReview of Economic Studies
Volume82
Issue number4
DOIs
StatePublished - Nov 2010

Keywords

  • Bayesian Methods
  • Time-varying Volatility

ASJC Scopus subject areas

  • Economics and Econometrics

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