This 2005 Review of Economic Studies paper by Giorgio Primiceri develops a Bayesian time-varying-parameter structural VAR (TVP-SVAR) with stochastic volatility — allowing not just the VAR coefficients …
This 2015 Review of Economic Studies corrigendum identifies and fixes a flaw in the Gibbs-sampling algorithm that Primiceri (2005) used to estimate time-varying-parameter structural VARs with …