-
Views
-
Cite
Cite
Marco Del Negro, Giorgio E. Primiceri, Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum, The Review of Economic Studies, Volume 82, Issue 4, October 2015, Pages 1342–1345, https://doi.org/10.1093/restud/rdv024
- Share Icon Share
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.
© The Author 2015. Published by Oxford University Press on behalf of The Review of Economic Studies Limited.
You do not currently have access to this article.