Arbeitspapier

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

zu Verbundenen Objekten

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.

Sprache
Englisch

Erschienen in
Series: Staff Report ; No. 619

Klassifikation
Wirtschaft
Bayesian Analysis: General
Statistical Simulation Methods: General
Thema
Bayesian methods
time-varying volatility

Ereignis
Geistige Schöpfung
(wer)
Del Negro, Marco
Primiceri, Giorgio
Ereignis
Veröffentlichung
(wer)
Federal Reserve Bank of New York
(wo)
New York, NY
(wann)
2013

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Del Negro, Marco
  • Primiceri, Giorgio
  • Federal Reserve Bank of New York

Entstanden

  • 2013

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