Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

被引：203

作者：

Del Negro, Marco ^{[1
]}

Primiceri, Giorgio E. ^{[2
]}

机构：

[1] Fed Reserve Bank New York, New York, NY 10045 USA

[2] Northwestern Univ, Dept Econ, CEPR & NBER, Evanston, IL 60208 USA

来源：

REVIEW OF ECONOMIC STUDIES | 2015年 / 82卷 / 04期

关键词：

Bayesian Methods; Time-varying Volatility; VOLATILITY; MODELS;

D O I：

10.1093/restud/rdv024

中图分类号：

F [经济];

学科分类号：

02 ;

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.

引用

页码：1342 / 1345

页数：4

共 6 条

[1] Getting it right: Joint distribution tests of posterior simulators [J].