This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with issues of endogeneity, because omitted factors and unobserved heterogeneity, volatility, policy regime shifts structural changes. methods are used select the best solution for examining if international spillovers come from multivariate time variation, or contemporaneous relationsh...

Graph-theoretic methods of causal search based on the ideas of Pearl (2000), Spirtes et al. (2000), and others have been applied by a number of researchers to economic data, particularly by Swanson and Granger (1997) to the problem of finding a data-based contemporaneous causal order for the structural vector autoregression, rather than, as is typically done, assuming a weakly justified Cholesk...

The paper shows that poor identifiability of parameters can arise in the context of linear panel data model with random effects and autocorrelated disturbances. This causes problems when estimating the model by (Gaussian) maximum likelihood. Corner solutions occur quite frequently for the variance of the random effects, with a consequent bimodal distribution of the other variance and of the aut...

In spite of the rapid adoption of electronic limit order markets all over the world, many questions concerning the nature and characteristics of liquidity in automated systems remain unanswered. This paper examines the dynamic behaviour of market liquidity on the Tunisian stock exchange (BVMT) using high frequency data from a reconstructed limit order book. The BVMT is an electronic pure order ...

The paper analyses the relationship between shadow economy and unemployment rates using a Structural VAR approach for quarterly data during the period 2000-2010. The size of Romanian shadow economy is estimated using the currency demand approach based on VECM models, stating that its size is decreasing over the analyzed period, from 36.5% at the end of 2000 to about 31.5% of real GDP at the mid...

We use Hasbrouck (1991)’s vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of trades, the speed of price adjustment to trade related information, and the positive autocorrelation...

This paper examines the usefulness of applying structural vector autoregressions (SVARs) to the study of business cycles. The SVAR approach aims to provide robust inferences, by imposing only weak theoretical restrictions. We illustrate that the robustness of conclusions drawn from SVAR exercises are questionable. We also examine the problem of identification failure in structural VAR models. ©...

This study examines the nature of competition between the two leading brands of a national small size market by estimating shortand long-term competitive reactions via a Structural VAR (SVAR) model. The primary findings indicate how the two competitors react, which marketing instruments are used, and when competitive reactions affect crossand own-sales. The empirical results suggest that compet...

This paper investigates the sources of the substantial decrease in output growth volatility in the mid-1980s by identifying which of the structural parameters in a representative New Keynesian and Structural VAR models changed. Overturning conventional wisdom, we show that the Great Moderation was not only due to changes in shocks volatilities but also to changes in monetary policy parameters a...