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It is shown that with these assumptions it is possible to identify the shocks without the use of further restrictions on the covariance matrix of the disturbances or the short\u2010run dynamics. If the long\u2010run parameters are known the whole model can be estimated by OLS. The analysis is extended to allow the VAR to have both stationary and non\u2010stationary variables. An illustration of the method is provided using the traditional benchmark VAR model involving US data on output, prices, interest rates and money. A liquidity effect is not found using this VAR methodology. 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