A Monte Carlo test for the identifying assumptions of the Blanchard and Quah (1989) model
Huh, Hyeon - Seung
A Monte Carlo test for the identifying assumptions of the Blanchard and Quah (1989) model created by Hyeon-Seung Huh - Applied economics letters Volume 20, number 9 .
In their VAR model, Blanchard and Quah (BQ, 1989) employed uncorrelatedness between Aggregate Supply (AS) and Aggregate Demand (AD) shocks and the long-run output neutrality condition as identifying assumptions. This article conducts a simple Monte Carlo experiment to gauge how well the BQ procedure can approximate the true structure if the underlying assumptions of uncorrelatedness and long-run output neutrality are not supported by data.
13504851
Blanchard and Quah--Monte Carlo--Identifying assumptions
HB1.A666 APP
A Monte Carlo test for the identifying assumptions of the Blanchard and Quah (1989) model created by Hyeon-Seung Huh - Applied economics letters Volume 20, number 9 .
In their VAR model, Blanchard and Quah (BQ, 1989) employed uncorrelatedness between Aggregate Supply (AS) and Aggregate Demand (AD) shocks and the long-run output neutrality condition as identifying assumptions. This article conducts a simple Monte Carlo experiment to gauge how well the BQ procedure can approximate the true structure if the underlying assumptions of uncorrelatedness and long-run output neutrality are not supported by data.
13504851
Blanchard and Quah--Monte Carlo--Identifying assumptions
HB1.A666 APP