I have two questions on how to produce impulse responses using R(1) Impulse responses to a negative shock in the independent variable (money supply)(2) Impulse responses at 2 standard deviationsThe code I used to generate the impulse responses to a positive shock at 1 standard deviation is the following:m1 <- read.csv(m1.csv, header=T)m1varm1 <- VAR(m1, p=8, type=cons)irfm1 <- irf(varm1, impulse=m1, response= c(gdp), boot = FALSE)plot(irfm1)irfm1
Impulse Response Function - Negative Shocks on R
r;statistics;time series
Here is a simple example that should work:data(Canada)var.2c=VAR(Canada,p=2,type=const)irf.rw.e=irf(var.2c,impulse=rw,response=c(e))n=length(irf.rw.e$irf$rw)for(i in 1:n){irf.rw.e$irf$rw[i]=irf.rw.e$irf$rw[i]*2.0} plot(irf.rw.e)Source