Staff Reports
Time-Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
May 2013  Number 619
JEL classification: C11, C15

Authors: Marco Del Negro and  Giorgio Primiceri

This 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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