EViews.com

Hi,

Does Eviews generate impulse responses based on the system level matrix produced and stored by the VAR statement? If this is correct, can we replace the system level matrix (such as @coefmat) with some externally generated matrix, and run the impulse response statement after that?

The reason I am asking is by this way, we may be able to estimate the equations using GMM, WLS etc. (instead of using the default OLS), then we can use these coefficients and produce subsequent impulse response.

Please tell if this works.

Thanks

Weber

Unfortunately not.

Gareth,

As you can see, there is a lot of interest in this issue (my posts on "user-defined VARs" also refer). Given the limitations weber and I have mentioned (eg, BVAR, GMM), it really would be helpful to be able to "import" VAR coefficients, and subsequently use the built-in VAR tools.

Regards
Donihue