In var and local projections, impulse responses can be drawn out for exogenous variables. But that’s not the case in svar.
Does anyone have a work around? Here’s a MWE below to start things off
webuse lutkepohl2
matrix A = (1,0,0\.,1,0\.,.,1)
matrix B = (.,0,0\0,.,0\0,0,.)
// create nonsense exogenous variable
g nonsense_exog = ln_inv*3/inc
svar dln_inv dln_inc dln_consump , aeq(A) beq(B) exog(nonsense_exog)
irf graph oirf, xlabel(0(1)10) irf(order3) yline(0,lcolor(black)) impulse(dln_inc) response(dln_consump) byopts(yrescale)
irf graph oirf, xlabel(0(1)10) irf(order3) yline(0,lcolor(black)) impulse(nonsense_exog) response(dln_consump) byopts(yrescale)
ERROR:
impulse nonsense_exog not found in results from order1
Does anyone have a work around? Here’s a MWE below to start things off
webuse lutkepohl2
matrix A = (1,0,0\.,1,0\.,.,1)
matrix B = (.,0,0\0,.,0\0,0,.)
// create nonsense exogenous variable
g nonsense_exog = ln_inv*3/inc
svar dln_inv dln_inc dln_consump , aeq(A) beq(B) exog(nonsense_exog)
irf graph oirf, xlabel(0(1)10) irf(order3) yline(0,lcolor(black)) impulse(dln_inc) response(dln_consump) byopts(yrescale)
irf graph oirf, xlabel(0(1)10) irf(order3) yline(0,lcolor(black)) impulse(nonsense_exog) response(dln_consump) byopts(yrescale)
ERROR:
impulse nonsense_exog not found in results from order1
