Dear Mr.Doan,
I want to know whether VARX code examples exists or not.
Is 'montenearsvar.rpf' related to VARX?
VARX code example
Re: VARX code example
I guess that depends upon what you want to do. Estimating a VARX model is simple---just put the exogenous variables into the DETERMINISTIC variables.
A near-VAR can be looked at as a combination of a VARX model for the variables that are affected by the exogenous variables, with a separate VAR for the exogenous variables themselves. That may be quite different from a situation where you have actual unmodelled exogenous variables.
MONTEEXOGVAR.RPF is an example which treats the interest rate as exogenous and does shocks to it.
A near-VAR can be looked at as a combination of a VARX model for the variables that are affected by the exogenous variables, with a separate VAR for the exogenous variables themselves. That may be quite different from a situation where you have actual unmodelled exogenous variables.
MONTEEXOGVAR.RPF is an example which treats the interest rate as exogenous and does shocks to it.