A note on the equivalence of the Blanchard and Quah (1989) and Sims (1980) identification procedures

Hyeon Seung Huh; Yeana Lee

A note on the equivalence of the Blanchard and Quah (1989) and Sims (1980) identification procedures

Department of Economics

Research output: Contribution to journal › Article › peer-review

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

All Science Journal Classification (ASJC) codes

Economics, Econometrics and Finance(all)

Cite this

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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.",

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AB - 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.

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A note on the equivalence of the Blanchard and Quah (1989) and Sims (1980) identification procedures

Abstract

All Science Journal Classification (ASJC) codes

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