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Hi fellows,

I'm trying to estimate impulse responses in a VAR model. The variables include oil and some other macroeconomic variables. However, the economic theory states that magnitude of positive and negative shock of oil on these macroeconomic variables are different.

Thus, I need your assistance in how to estimate a VAR model and generate IRFs when the magnitude of negative and positive shocks are different ?

Thanks,

Hello,

Are you referring to work by A. Hatemi-J (2011)? EViews doesn't have such asymmetric IRFs built-in, so you'll have to calculate them yourself, i.e., split the residuals into non-negative and non-positive series and estimate the secondary VARs.

Can you guys help me with generating positive and negative residuals of a variable on eviews? Please

hı, I want to test Hatemi-j cointegration test but I haven't code or another thing,
is it possible for you, send me Hatemi-j cointegration code
thanks