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