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My issue is that with VAR estimation when looking at IRF's I can only consider shocks to endogenous variables. I would like to construct an IRF that shows the response when an exogenous binary dummy variable =1.

I've looked online and through this forum but have not been able to find an indepth explanation or guide to doing this in eviews. To the best of my understanding there are two possible options:
1) create a matrix and input this in the 'user-specified' option for the IRF shock choice
2) create an IRF for a model with and without the policy dummy (as an endogenous variable) and graph the difference

Do you have any advice/places I can go to find the answer to this question or a practical guide on how to achieve this using Eviews?

Best regards,

Chris

I think you can do it as a user-specified shock using the coefficients as loadings.

Glenn,
Thanks for your response. I'm not clear on what you mean as 'loadings' or how to go about this

The user specified shocks feature allows you to define your impulse values. The documentation for the impulse response feature describes how to specify these user shocks.

If you think about it, changing the value of the dummy variable from a 0 to a 1 is associated with an implied shock equal to the value of the coefficient on the dummy variable. Simply create the corresponding shocks for each of the endogeneous variables with respect to the dummy variable.