A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...

The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date...

A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...

In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...

Transaction costs play a key role in the behaviour of smallholders in developing countries. We exploit the quasi experimental design of the introduction of an additional tobacco auction floor in Malawi in order to investigate the impact of a reduction in transaction costs and improved market...

We measure the impact of the Farmers Income Diversification Program (FIDP), an EU funded program implemented in Malawi from late 2005 onwards, aiming at increasing agricultural productivity, diversification, value addition, commercialization and trade of subsistence farmers. The geographical...

I use the quasi experimental nature of the roll-out of the mobile phone network in Mozambique to estimate the impact of search costs on the dispersion of maize prices and transport costs. The introduction of mobile phone services from 1997 to 2009 explains a 4.5-11% percent reduction in price...

We investigate to what extent the roll-out of the mobile phone network in Mozambique reduced transport costs and search costs, and thereby decreased spatial price dispersion and improved market efficiency. Estimations are based on data of transport costs of maize grain and maize market prices....