Hello,

I have a question about panel VARX model estimation. I am estimating a simple panel VAR model, where I use a measure of financial shock (fin_shock) that was first identified using the aggregate data. This may be a stupid question but is it fine to estimate the panel VAR model with Cholesky decomposition in this case:

Code:
pvar fin_shock var_a var_b var_c, lags(2) level(90) fod
pvar stable
pvarirf, oirf mc(200) byoption(yrescale) porder(fin_shock var_a var_b var_c)
or should the shock be added as an exogenous variable?
Code:
 pvar var_a var_b var_c, lags(2) exog(fin_shock) level(90) fod
Thank you!