Time-Varying Parameter VAR Model with Stochastic ...

be estimated using Markov chain Monte Carlo (MCMC) methods in the context of a Bayesian inference. To illustrate the estimation procedure of the TVP-VAR model, this paper begins by reviewing an estimation algorithm for a TVP regression model with stochastic vola-tility, which is a univariate case of the TVP-VAR model. Then the paper extends the