Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154] (Journal of Econometrics (2019) 212(1) (137–154), (S030440761930079X), (10.1016/j.jeconom.2019.04.024))

Carriero, A; Chan, J; Clark, TE; Marcellino, M

Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154] (Journal of Econometrics (2019) 212(1) (137–154), (S030440761930079X), (10.1016/j.jeconom.2019.04.024))

Carriero, A Chan, J Clark, TE Marcellino, M

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Publisher:: Elsevier BV
Publication Type:: Journal Article
Citation:: Journal of Econometrics, 2022, 227, (2), pp. 506-512
Issue Date:: 2022-04-01

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Field	Value	Language
dc.contributor.author	Carriero, A
dc.contributor.author	Chan, J
dc.contributor.author	Clark, TE
dc.contributor.author	Marcellino, M
dc.date.accessioned	2022-08-11T01:24:14Z
dc.date.available	2022-08-11T01:24:14Z
dc.date.issued	2022-04-01
dc.identifier.citation	Journal of Econometrics, 2022, 227, (2), pp. 506-512
dc.identifier.issn	0304-4076
dc.identifier.issn	1872-6895
dc.identifier.uri	http://hdl.handle.net/10453/159900
dc.description.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(N4)), and therefore it still allows the estimation of large VARs.
dc.language	en
dc.publisher	Elsevier BV
dc.relation.ispartof	Journal of Econometrics
dc.relation.isbasedon	10.1016/j.jeconom.2021.11.010
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	0104 Statistics, 1402 Applied Economics, 1403 Econometrics
dc.subject.classification	Econometrics
dc.title	Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154] (Journal of Econometrics (2019) 212(1) (137–154), (S030440761930079X), (10.1016/j.jeconom.2019.04.024))
dc.type	Journal Article
utslib.citation.volume	227
utslib.for	0104 Statistics
utslib.for	1402 Applied Economics
utslib.for	1403 Econometrics
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	closed_access	*
dc.date.updated	2022-08-11T01:24:13Z
pubs.issue	2
pubs.publication-status	Published
pubs.volume	227
utslib.citation.issue	2

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(N4)), and therefore it still allows the estimation of large VARs.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/159900