IRFs for exogenous variables in a VAR model
Posted: 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
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