“…For an exhaustive description of the econometric features of SVAR see, for example, Amisano and Giannini (). Their applications are not new in the tourism literature, even if they are more often related to demand forecasting (see, among the most recent, Martins, Gan, & Ferreira‐Lopes, ; Liu, Tseng, & Tseng, ) than to price modelling. Among the valuable exceptions are Bergantino, Capozza, and Capurso (), who consider a panel‐VAR model to describe price dynamics and competition in the Italian airline and railway markets, using the advance booking as the temporal dimension, the arrival dates as the cross‐sectional dimension, and the different companies as the multivariate dimension of the price‐time series.…”