  This paper develops a non-Bayesian methodology to analyze the time-varying
structure of international linkages and market efficiency in G7 countries. We
consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and
apply it to estimate the joint degree of market efficiency in the sense of Fama
(1970, 1991). Our empirical results provide a new perspective that the
international linkages and market efficiency change over time and that their
behaviors correspond well to historical events of the international financial
system.
