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 |
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Pages (from-to) | 2646-2652 |
Number of pages | 7 |
Journal | Economics Bulletin |
Volume | 32 |
Issue number | 3 |
Publication status | Published - 2012 |
All Science Journal Classification (ASJC) codes
- Economics, Econometrics and Finance(all)