Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum (REStud 2015)
|Marco Del Negro, Giorgio E. Primiceri||Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum||REStud||2015||4||1342–5||C11, C15|
The SSRN working paper version of the correction included a list of studies that were affected by the error:
"the observation that the indicators sT must be sampled before the history of volatilities is relevant for several papers that, following Primiceri (2005), estimate VARs with time-varying volatility using the Kim, Shephard and Chib (1998) approach, e.g., Canova and Gambetti (2009), D'Agostino et al. (2013), D'Agostino and Surico (2012), and Koop and Potter (2011). It also applies to other models whose estimation involves the Kim, Shephard and Chib (1998) mixture of normal approximation, such as DSGE models (e.g., Justiniano and Primiceri, 20081 and Curdia, Del Negro and Greenwald, 2012), and factor models (e.g., Del Negro and Otrok, 2008) with time-varying volatilities.
1 The estimation algorithm of Justiniano and Primiceri (2008) is correct, although their appendix describes an algorithm with the wrong order."