Time-varying structural vector autoregressions and monetary policy : a corrigendum

Marco Del Negro; 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. -- Bayesian methods ; time-varying volatility

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Year of publication:	2013
Authors:	Del Negro, Marco ; Primiceri, Giorgio E.
Publisher:	New York, NY : Federal Reserve Bank of New York
Subject:	Geldpolitik \| Monetary policy \| VAR-Modell \| VAR model \| Theorie \| Theory \| Schätzung \| Estimation

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Extent:	Online-Ressource (4 S.)
Series:	Staff reports / Federal Reserve Bank of New York. - New York, NY : [Verlag nicht ermittelbar], ZDB-ID 2189304-4. - Vol. 619
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/93675 [Handle]
Classification:	C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009744671