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

Hyeon-seung Huh and Yeana Lee ()
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Yeana Lee: Yonsei University

Economics Bulletin, 2012, vol. 32, issue 3, 2646-2652

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.

Keywords: Blanchard and Quah; Sims; Structural VAR; Identification (search for similar items in EconPapers)
JEL-codes: C5 E3 (search for similar items in EconPapers)
Date: 2012-09-24
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