TY - JOUR
AU - Primiceri, Giorgio E.
AB - 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.
TI - Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
JF - The Review of Economic Studies
DO - 10.1093/restud/rdv024
DA - 2015-10-26
UR - https://www.deepdyve.com/lp/oxford-university-press/time-varying-structural-vector-autoregressions-and-monetary-policy-a-M0Meg2cYlQ
SP - 1342
EP - 1345
VL - 82
IS - 4
DP - DeepDyve
ER -