- if it is there is such a thing as an impulse response function for the exogenous variable, and
- 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!)