Exogenous variables in BVAR

I was going to revive an old thread which discussed this topic, but I figured I would just make a new one, since the forum window asked me if I was serious about bumping a thread which was > 1 year old.

I’d like to estimate a BVAR of the labor market using JOLTS data. There are key endogenous variables (market tightness, unemployment rate, wage, etc.) and there are key exogenous variables (labor productivity, match separation rate).

I have the data for all variables, but I’d like to see if there’s a way I can incorporate the exogenous data into the BVAR.

Is it still the case that dynare cannot do something like this, or have newer versions built this capability in?

Thanks ahead of time.

No, that is still not feasible. Given the comparative advantage of competitors like The BEAR toolbox
the BVAR is not a development priority of Dynare.