文章基本信息

标题：A note on the equivalence of the Blanchard and Quah (1989) and Sims (1980) identification procedures
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作者：Hyeon-seung Huh ; Yeana Lee
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2012
卷号：32
期号：3
页码：2646-2652
出版社：Economics Bulletin
摘要：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.
关键词：Blanchard and Quah; Sims; Structural VAR; Identification