Time-Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

Del Negro, Marco; Primiceri, Giorgio E.

doi:10.2139/ssrn.2266557

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Time-Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

FRB of New York Staff Report No. 619

6 Pages Posted: 18 May 2013

See all articles by Marco Del Negro

Giorgio E. Primiceri

Northwestern University - Department of Economics; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Date Written: May 1, 2013

Abstract

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.

Keywords: Bayesian methods, time varying volatility

JEL Classification: C11, C15

Suggested Citation: Suggested Citation

Del Negro, Marco and Primiceri, Giorgio E., Time-Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum (May 1, 2013). FRB of New York Staff Report No. 619, Available at SSRN: https://ssrn.com/abstract=2266557 or http://dx.doi.org/10.2139/ssrn.2266557