IRFs for exogenous variables in a VAR model

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jourdan
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Joined: Wed Jun 13, 2012 1:46 pm

IRFs for exogenous variables in a VAR model

Postby jourdan » Wed Jun 13, 2012 1:53 pm

Hi,

Does anyone know how to compute the effect of a shock in an exogenous variable in the endogenous variables from a VAR model. I only know how to compute IRFs for the endogenous variables. For the exogenous ones I have no idea how to do so. If someone could provide me any related information I would really appreciate.

Thanks a lot
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