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, Andrea;Marcellino, Massimiliano
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.
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