Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/93675
Authors: 
Del Negro, Marco
Primiceri, Giorgio
Year of Publication: 
2013
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 619
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.
Subjects: 
Bayesian methods
time-varying volatility
JEL: 
C11
C15
Document Type: 
Working Paper

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