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  • Block exogeneity in Bayesian VAR

    Dear members of the forum. Does anyone know of a way of imposing block exogeneity in a bayesian VAR in Stata? I have reviewed the documentation on running VARs with the Bayes: var command but cannot find the proper mechanism. I am not looking for the exogenous variables option since, later on, I want to estimate IRFs shocking one of the partially exogenous variables within the block. As far as I understand, this cannot be done with the variables included under the exog() option. I use STATA 17. Thanks in advance for any help.
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