Impulse Responses to exogenous VAR variables

[BobJ]

Hi,

I am trying to obtain the impulse response functions (graph) of the endogenous variables of a vector autoregression to a shock in an exogenous variable. I can't seem to figure out a way to do it.
Suppose I have a VAR
x(t) = c + a1*x(t-1)+b1*y(t-1)+c1*z(t-1)+e1(t)
y(t) = d + a2*x(t-1)+ b2*y(t-1) + c2*z(t-1) +e2(t)

where x(t) and y(t) are the endogenous variables and z(t) is the exogenous variable (that is not a constant). I tried obtaining the impulse responses with the "user specified" shocks option in Eviews to no avail. The problem seems to be that the shock matrix needs to be of the same dimension as the number of endogenous variables.

I'd be thankful for any suggestions.

[nsouzas]

Hello Bob,

I am facing the same problem. Maybe we could coordinate efforst and save some time. Please, if you get an answer to your question could send it to me or post here? I will do the same If I get there first.

All my best,

Nelson

email: nsouzas@gmail.com