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Hyeon-seung Huh and Yeana Lee
''A note on the equivalence of the Blanchard and Quah (1989) and Sims (1980) identification procedures''
( 2012, Vol. 32 No.3 )
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
JEL: C5 - Econometric Modeling: General
E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Manuscript Received : Jul 31 2012 Manuscript Accepted : Sep 24 2012

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