This paper introduces a novel approach to study the effects of common shocks on panel data models with endogenous explanatory variables when the cross section dimension (N) is large and the time series dimension (T) is fixed: this relies on conditional strong laws of large numbers and...

We examine the response of real exchange rates to shocks in real exchange rate determinants, a monetary policy shock, and a fiscal policy shock in 30 countries over the period 1970-2008. The country set is divided into 4 groups - European, developed-country, Asian developing-country, and non...

In this paper we study two methodologies which identify and specify canonical form VARMA models. The two methodologies are: (i) an extension of the scalar component methodology which specifies canonical VARMA models by identifying scalar components through canonical correlations analysis and...

In this paper, we argue that there is no compelling reason for restricting the class of multivariate models considered for macroeconomic forecasting to VARs given the recent advances in VARMA modelling methodology and improvements in computing power. To support this claim, we use real...

In this paper Australian domestic and international inbound travel are modelled by an anisotropic dynamic spatial lag panel Origin-Destination (OD) travel flow model. Spatial OD travel flow models have traditionally been applied in a single cross-sectional context, where the spatial structure is...

This paper establishes vector autoregressive moving average (VARMA) models for Malaysian monetary policy analysis by efficiently identifying and simultaneously estimating the model parameters using full information maximum likelihood. The monetary literature is largely dominated by vector...

Nelson and Startz (Econometrica, 58, 1990), Maddala and Jong (Econometrica, 60, 1992) and Wolgrom (Econometrica, 69, 2001) have shown that the density of the two-stage least squares estimator may be bimodal in a just identified structural equation. This paper further investigates the conditions...