Block exogeneity in VAR

[akrohit]

Hi I am interested in estimating a 2 variable VAR, variables being x1 and x2 for p no. of lags. I want to impose block exogeneity whereby I can ensure that variable x1 does not impact x2 (x2 determined only by its lags) wheres x1 does not have such restrictions and is dependent on x1 as well as x2. How to do this? Plz guide.

[EViews Gareth]

You can't do it in a VAR - you'd have to use a System Object.

Probably the easiest thing to do is first make a VAR, then use Proc->Make System, then delete the coefficients you wish to restrict to zero.