Hi there,
I have estimated a bivariate VAR model (with series x1 and x2 as endogenous
variables):
y=cbind(x1,x2)
z=cbind(d1,d2,d3,d4,d5,d6,d7,d8,d9) # some dummy variables
model<-VAR(y, p = 3, type = c("const", "trend", "both", "none"),
season = NULL, exogen = z, lag.max = NULL,
ic = c("AIC", "HQ", "SC", "FPE"))
and I have plotted the cumulative impulse response function with:
impulseresponse<-irf(lagmodel, impulse = "x2", response = "x1", n.ahead =
400,
ortho = TRUE, cumulative = TRUE, boot = FALSE)
plot(impulseresponse)
Now as the impulse response function shows the effect on e.g. x1 of a unit
shock in x2 I expect the value at t=0 to be at or around one (depending on
whether there is an interscept in the model). Why then, does all impulse
response plots I get start at zero?
I really hope someone can help me out! Thanks in advance.
Jose
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