#StackBounty: #vector-autoregression #statsmodels #impulse-response Impulse response function of the exogenous variable in a VARMAX model

Bounty: 50

I am learning about VAR models "by doing", so to speak. I am using statsmodels; comparing the documentation on VAR and VARX models, I would like to understand

  1. if it is there is such a thing as an impulse response function for the exogenous variable, and
  2. how one might go about implementing it, if such a thing exists.

In the VARX example that is considered for instance, it seems reasonable to ask, "what is the impact of a shock on consumption (the exogenous variable) on investment and income (the endogenous variables)?" But can this be answered within a VARX model? And again, how could this be implemented? (statsmodels code would be much appreciated!)


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