In practice, what I am trying to do is to compare two VAR models. I have estimated one model with 6 variables, and the other one with 5 variables + an exogenous. (the 6 variables are the same). 

I have then computed then IRFs, and calculated the difference btw IRFs of the two models 

Next, I wanted to compute simulated IRFs' differences, so I have simulated data and re-estimated the 2 models. I have done 2000 replications. 

For each replication, I then compared the maximum difference I get from the two simulated IRFs, with the difference between the 2 original IRFs. 

But over 2000 replications, only once I got a simulated difference greater than the benchmark (original) difference.

Sorry, I have explained in a bad way, hope you understand.. here is the complete code:

D=max(abs(IP))

tcount=0

y = 8 13 12 1 2 3

y1 = 8 13 12 1 2 

x = 3

#MODEL 1

var 6 y --silent

matrix Ac = $compan[1:6,]

matrix U = $uhat. +$coeff[1,]

#Initial values

matrix y0 = {var1, var2, var3, var4, var5, var6}[1:6,]

#MODEL 2

var 6 y1; x --silent

matrix Ac1 = $compan[1:5,]

matrix U1 = $uhat.+coeff[1,]

#Initial values

matrix y01={var1, var2, var3, var4, var5}[1:6,]

loop 2000

# Simulation data model 1

    matrix Usim = resample (U)

    matrix Ysim = varsimul(Ac, Usim, y0)

    series frs=Ysim[,1]

    series ips=Ysim[,2]

    ...

    series bs=Ysim[,6]

# model 1 with simulated data

var 6 frs ips ... bs --silent

set horizon 60

matrix K = cholesky($sigma)

matrix V = $vma

#matrix of IRFs from simulated data

matrix IRFsim = V * (K**(I(6))

# IRF of variable of interest 

matrix IRFip_b = IRFsim[,2]

# Simulation data model 2

matrix Usim1 = resample(U1)

matrix Ysim1 = varsimul(Ac1, Usim1, y01)

series frs1 = Ysim1[,1]

series ips1 = Ysim1[,2]

...

series fs1 = Ysim1[,5]

var 6 frs1 ips1 ... fs1; x --silent

set horizon 60

matrix K1 = cholesky($sigma)

matrix V1 = $vma

matrix IRFsim1 = V1 * (K1**I(5))

matrix IRFip_b1=IRFsim1[,2]

#Difference between IRFs from simulated models 1 and 2

matrix Diff = IRFip_b1 - IRFip_b

Dsim = max(abs(Diff))

  if Dsim > D

     tcount = tcount + 1 

  endif 

endloop

print count

I would be very grateful if someone could provide any suggestion about it..

Thank you again, 

Gabriela