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  • need help using DM (dynamic multiplier) for exogenous variables in PVAR's impulse response

    Hello, I am working with pvar model, where I would like to see the response of (gdp cpi credit) to impulse( policy rate) and exogenous variables (US gdp). My code works for endogenous variables but not when I include exogenous variables. I now I am supposed to use DM for exogenous variables. I tried all combinations but it doesn't seem to work. The reported error is either "invalid" or policy rate is not exogenous. please help.

    * Estimate pVAR models
    pvar rgdplog crelog cpilog policyrate, exog(ffr_us rgdp_us_pch) lags(1)
    est store pvar1_1

    pvarirf graph dm, imp(ffr_us rgdp_us_pch policyrate) res(rgdplog cpilog crelog)

    this works fine though:
    pvarirf, imp(policyrate ) res(rgdplog cpilog crelog)
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