Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors … algorithm is based on a simple triangularisation which allows to simulate the conditional mean coefficients of the VAR by … existing algorithms routinely used in the literature and by practitioners. Importantly, this new algorithm can be easily …