I am fitting a reduced form VAR model using VAR in the vars library. I have
several endogenous variables, and two exogenous variables. I would like to
explore the effects of a shock to one of the exogenous variables on one of
the endogenous variables. Using irf in the vars library only calculates the
irf for the endogenous variables, this is obviously by design, is there some
theoretical restriction on why it is not possible to look at the irf's from
exogenous shocks? Is there anyway to look at the effects of exogenous
shocks in R? Do I need to consider some sort of structural model?
the following code sample illustrates what I am trying to do and the
problems I am having (I am not an econometrician, but I know that e would be
better left as an endo variable, I just needed some common data to show what
I am trying to do)
data(Canada)
attach(Canada)
v.can<-VAR(Canada[,2:4],exogen=e, p = 2, type = "both")
irf(v.can,impulse= "e", response="prod")
thanks again,
Spencer
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