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Working Paper

Corrigendum to: Large Bayesian Vector Autoregressions with Stochastic Volatility and Non-Conjugate Priors

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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(N4)), and therefore it still allows the estimation of large VARs.
Topics
Econometrics modeling and forecasting
12.02.2021ISSN 2573-7953 WP 16-17COriginal Paper WP 16-17DOI 10.26509/frbc-wp-201617corrigendum
JEL Classification Codes C11, C13, C33, C53

Working Papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded official Federal Reserve Bank of Cleveland publications. The views expressed in this paper are those of the authors and do not represent the views of the Federal Reserve Bank of Cleveland or the Federal Reserve System.

Suggested Citation

Carriero, Andrea, Todd E. Clark, Massimiliano Marcellino, and Joshua C.C. Chan. 2021. “Corrigendum to: Large Bayesian Vector Autoregressions with Stochastic Volatility and Non-Conjugate Priors.” Federal Reserve Bank of Cleveland, Working Paper No. 16-17C. https://doi.org/10.26509/frbc-wp-201617corrigendum