A Monte Carlo test for the identifying assumptions of the Blanchard and Quah (1989) model

Research output: Contribution to journalArticle

Abstract

In their VAR model, Blanchard and Quah (BQ, 1989) employed uncorrelatedness between Aggregate Supply (AS) and Aggregate Demand (AD) shocks and the long-run output neutrality condition as identifying assumptions. This article conducts a simple Monte Carlo experiment to gauge how well the BQ procedure can approximate the true structure if the underlying assumptions of uncorrelatedness and long-run output neutrality are not supported by data.

Original languageEnglish
Pages (from-to)601-605
Number of pages5
JournalApplied Economics Letters
Volume20
Issue number6
DOIs
Publication statusPublished - 2013 Apr 1

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Monte Carlo test
Neutrality
Demand shocks
VAR model
Monte Carlo experiment
Aggregate supply
Aggregate demand

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

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abstract = "In their VAR model, Blanchard and Quah (BQ, 1989) employed uncorrelatedness between Aggregate Supply (AS) and Aggregate Demand (AD) shocks and the long-run output neutrality condition as identifying assumptions. This article conducts a simple Monte Carlo experiment to gauge how well the BQ procedure can approximate the true structure if the underlying assumptions of uncorrelatedness and long-run output neutrality are not supported by data.",
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A Monte Carlo test for the identifying assumptions of the Blanchard and Quah (1989) model. / Huh, Hyeon-Seung.

In: Applied Economics Letters, Vol. 20, No. 6, 01.04.2013, p. 601-605.

Research output: Contribution to journalArticle

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