Time-varying structural vector autoregressions and monetary policy: a corrigendum
AbstractThis 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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Bibliographic InfoPaper provided by Federal Reserve Bank of New York in its series Staff Reports with number 619.
Date of creation: 2013
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-05-24 (All new papers)
- NEP-ECM-2013-05-24 (Econometrics)
- NEP-ETS-2013-05-24 (Econometric Time Series)
- NEP-MAC-2013-05-24 (Macroeconomics)
- NEP-ORE-2013-05-24 (Operations Research)
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