Glenn,
Thanks for your response. I'm not clear on what you mean as 'loadings' or how to go about this
Search found 2 matches
- Tue Sep 10, 2013 9:59 am
- Forum: Estimation
- Topic: VAR Impulse Response Function response to exogenous dummy
- Replies: 3
- Views: 4990
- Sun Sep 01, 2013 3:07 am
- Forum: Estimation
- Topic: VAR Impulse Response Function response to exogenous dummy
- Replies: 3
- Views: 4990
VAR Impulse Response Function response to exogenous dummy
My issue is that with VAR estimation when looking at IRF's I can only consider shocks to endogenous variables. I would like to construct an IRF that shows the response when an exogenous binary dummy variable =1. I've looked online and through this forum but have not been able to find an indepth expl...