Abstract
We show that the two-variable VAR model of Blanchard and Quah (1989) produces results identical to those based on the Sims (1980) orthogonalization if the first-ordered variable is not caused in the long run by the second-ordered variable. Some illustrative examples are provided to demonstrate the usefulness of this result.
| Original language | English |
|---|---|
| Pages (from-to) | 2646-2652 |
| Number of pages | 7 |
| Journal | Economics Bulletin |
| Volume | 32 |
| Issue number | 3 |
| Publication status | Published - 2012 Dec 1 |
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All Science Journal Classification (ASJC) codes
- Economics, Econometrics and Finance(all)
Cite this
Huh, H. S., & Lee, Y. (2012). A note on the equivalence of the Blanchard and Quah (1989) and Sims (1980) identification procedures. Economics Bulletin, 32(3), 2646-2652.