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Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

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  • Marco Del Negro
  • Giorgio E. Primiceri

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.

Suggested Citation

  • Marco Del Negro & Giorgio E. Primiceri, 2015. "Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1342-1345.
    • Handle: RePEc:oup:restud:v:82:y:2015:i:4:p:1342-1345.
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    File URL: http://hdl.handle.net/10.1093/restud/rdv024
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    More about this item

    Keywords

    Bayesian Methods; Time-varying Volatility;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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