Corrigendum to: Measuring Uncertainty and Its Impact on the Economy

Carriero, Clark, and Marcellino (2018, CCM2018) used a large BVAR with a factor structure to stochastic volatility lo produce an estimate of time-varying macroeconomic and financial uncertainty and assess uncertainty's effects on the economy. The results in CCM2018 were based on an estimation algorithm that has recently shown to be incorrect by Bognanni (2021) and fixed by Carriero, et al. (2021). In this note we use the algorithm correction of Carriero, et a1. (2021) to correct the estimates of CCM2018. Although the correction has some impact on the original results, the changes are small and the key findings of CCM2018 are upheld.