My question is twofold (hope it's ok). I want to estimate VAR model with the sole purpose of analysing the impulse response functions. I want to analyse the response of GDP to shock in exports and consumption.
The first question.
Is there anything wrong with using GDP and all the components (C, G, I, X, M), which of course will give R2 = 1, if I'm only interested in IRF.
Is there a way to analyse multiple simultaneous shocks e.g. shock in exports and consumption at the same time?