Shocking exogenous variable in VECM
Posted: Wed Nov 24, 2010 3:39 am
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I estimated VECM. In eviews the built-in functions allow you to calculate impulse responses only when endogenous variables are shocked. Do any of you have recommendations or ever write a program how to shock exogenous variables and calculate impulse responses? I also wonder whether in the new, 7. version IRF confidence intervals are available in case of VECM ( it is not in Eviews 6)? Thanks
Marianna