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

Andrea Carriero, Joshua Chan, Todd Clark and Massimiliano Marcellino (2022)
Journal of Econometrics, 227(2): 506-512
[ Journal Version | Working Paper | Code ]

This code implements the corrected triangular algorithm (equation-by-equation estimation) to fit large VARs with stochastic volatility.