The original algorithm contained a mistake that meant the conditional distributions used for the VAR's coefficients were missing a piece of information. We propose a new algorithm that uses the same factorization but includes the missing term. The new, correct algorithm has the same computational complexity as the old, incorrect one (i.e., O(N-4)), and therefore it still allows the estimation of large VARs. (C) 2021 Published by Elsevier B.V.

Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154]

Carriero, A;
2022

Abstract

The original algorithm contained a mistake that meant the conditional distributions used for the VAR's coefficients were missing a piece of information. We propose a new algorithm that uses the same factorization but includes the missing term. The new, correct algorithm has the same computational complexity as the old, incorrect one (i.e., O(N-4)), and therefore it still allows the estimation of large VARs. (C) 2021 Published by Elsevier B.V.
2022
Carriero, A; Chan, J; Clark, TE; Marcellino, M
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/900983
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