We propose the unified approach to construct the non–informative prior for time–series econometric models that are invariant under some group of transformations. We show that this invariance property characterizes some of the most popular models hence the applicability of the proposed...

The aim of the paper is to study the nature of normalization in Structural VAR models. Noting that normalization is the integral part of identification of a model, we provide a general characterization of the normalization. In consequence some the easy–to–check conditions for a Structural...

The article presents the problem of identification in parametric models from an algebraic point of view. We argue that it is not just another perspective but the proper one. That is, using our approach we can see the very nature of the identification problem, which is slightly different than...

The paper aims at systematic placement of identification concept within Bayesian approach. Pointing to some deficiencies of the standard Bayesian language to describe identification problem we propose several useful characterizations that seem to be intuitively sound and attractive given their...

We provide some generalization and clarification of the identification conditions for Structural VAR (SVAR) models given in Rubio–Ramírez et al (2010). In particular we show that their basic sufficient condition is also necessary. In addition we give necessary and sufficient conditions for...

This note demonstrates how performance measure congruity and noise determine an agency’s total surplus within an linear agency framework with multiple tasks. It provides a decomposition of agency costs, leading back to a congruity index previously proposed in the literature. In addition,...

We develop a model to show that cartels that produce goods with lower durability are easier to sustain implicitly. This observation gen- erates the following results: 1) implicit cartels have an incentive to pro- duce goods with an inefficiently low level of durability; 2) a monopoly or explicit...

In this paper, a promotion tournament is considered, where, at the beginning of the tournament, it is unknown how long the tournament lasts. Further, the promotion decision is based on the assessments of a supervisor with imperfect recall. In line with psychological research, the supervisor is...

Policy makers often decide to liberalize foreign bank entry but at the same time restrict the mode of entry. We study how different entry modes affect the interest rate for loans in a model in which domestic banks possess private information about their incumbent clients but foreign banks have...

Lecture on the first SFB/TR 15 meeting, Gummersbach, July, 18 - 20, 2004The explicit or implicit protection of banks through government bail-out policies is a universal phenomenon. We analyze the competitive effects of such policies in two models with different degrees of transparency in the...