Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

• 成果类型: Article
• 署名作者: Del Negro, Marco; Primiceri, Giorgio E.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Northwestern University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdv024
• 发表日期: 2015
• 页码: 1342-1345
• 关键词: volatility; models

摘要

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.