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 shows how to correctly apply the procedure of Kim, Shephard, and Chib (1998) to the estimation of VAR, DSGE, factor, and unobserved components models with stochastic volatility. Relative to Primiceri (2005), the main difference in the new algorithm is the ordering of the various Markov Chain Monte Carlo steps, with each individual step remaining the same.
|Date of creation:||2013|
|Date of revision:||01 Oct 2014|
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- Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2013.
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American Statistical Association, vol. 20(1), pages 69-87, January.
- Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports 326, Federal Reserve Bank of New York.
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