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

Hyeon Seung Huh, Yeana Lee

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)2646-2652
Number of pages7
JournalEconomics Bulletin
Volume32
Issue number3
Publication statusPublished - 2012 Dec 1

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Equivalence
VAR model
Usefulness

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance(all)

Cite this

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A note on the equivalence of the Blanchard and Quah (1989) and Sims (1980) identification procedures. / Huh, Hyeon Seung; Lee, Yeana.

In: Economics Bulletin, Vol. 32, No. 3, 01.12.2012, p. 2646-2652.

Research output: Contribution to journalArticle

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