I'm trying to run the SVAR model with exogenous variables.
A Y(t) = α+βy Y(t-1) + (d(t) +s(t)) + v(t)
where d(t) and s(t) are exogenous variables.
Now, I would like to see the impulse response function (IRF) of the impact of an exogenous variable on each endogenous variable after running SVAR model.
I know that we can run IRF after VAR with an exogenous variable with the command
Code:
irf graph dm
Any advice on how can I capture the IRF of exogenous on endogenous variable with SVAR model?
Thank you
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