I have a VAR model with 4 variables. I ran my VAR in the baseline scenario. What I want to do now is a simulation exercise where one of the impulse response variables is neutralized ( = 0 over all the horizons) whereas all the others respond normally to the shock.
This is the code I have for the function I created is:
irs(VAR.p+1,:) = -VAR.b1(:,1)/VAR.b1(1,1);
lvars = (irs(VAR.p+jj-1:-1:jj,:))';
irs(VAR.p+jj,:) = lvars(:)'*VAR.bet(1:VAR.p*VAR.n,:);
VAR.irs = irs(VAR.p+1:end,:);
I don't know how to change it to get what I need. The variable I want to set to 0 is ordered second in my VAR.
Can anyone help me with this?