This note shows how to apply the procedure of Kim et al . (1998) to the estimation of VAR, DSGE, factor, and unobserved components models with stochastic volatility. In particular, it revisits the estimation algorithm of the time-varying VAR model of Primiceri (2005) . The main difference of the new algorithm is the ordering of the various MCMC steps, with each individual step remaining the same.
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