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.
|Number of pages||7|
|Publication status||Published - 2012 Dec 1|
All Science Journal Classification (ASJC) codes
- Economics, Econometrics and Finance(all)