EViews.com

Hey guys!

I have this problem that I have been struggling with it for over a week. I have a VARX - a vectorautoregression with one exogenous variable (apart from the constant). This variable is stochastic, so I want to see what happens to the system if there is a shock to it but I cannot do it in Eviews. How is that possible there? I've turned the manual upside down and didn't find even a clue regarding VARX. I put the variable as exogenous but after that there is nothing I can do.

I'm on Eviews 5, but I played on the laptop of one of my professors with 7 and didn't see anything changed to the VAR, so I guess they are the same regarding how they treat the exog. variable.

Thanks!

Not quite sure what you're trying to do, but if you want to see how the endogenous variables change with a shock to an exogenous variable, the only way to do it is by turning your VAR into a Model, solving the model, then change the value of the exogenous variable and go again.

Thanks Gareth!

Shame to hear that though...
I have a model of this sort - http://econ.la.psu.edu/~hbierens/EasyRe ... s/VARX.PDF This doesn't have to read that as a whole, just a glimps on the first page is sufficient.
Basically the following setup

y_t= c + sum(from i=1 to k_y) A(i) * Y_t-i + sum(from i=0 to k_x) B(i) * X_t-i + e(y)_t

where e(y)_t is white noise
and the X is exogenous to y / such that X is orthogonal to Y and follows its own process

X_t = sum(from i=1 to k_x) D(i) * X_t-i + e(X)_t
e(X)_t is white noise

I want to put a shock to e(X)_t and see what happens and I was hoping there was an *easy* way to do this, since I've never solved before things with Eviews.

Dear Fenix,
Now i'm in the same trouble like you. If you founded the solution, please post the answer in this topic. Thanks advance!

Not quite sure what you're trying to do, but if you want to see how the endogenous variables change with a shock to an exogenous variable, the only way to do it is by turning your VAR into a Model, solving the model, then change the value of the exogenous variable and go again.

Hi Gareth,

Do you know how to add confidence interval after obtaining the response?
I have been trying to find a solution for a long time. Please help.

Thanks.