I am using
irf function from vars package. I am trying to derive cumulative IRFs.
The following code describes the case of deriving cumulative IRFs:
irf(vecm.l, impulse = c("g","p","h","l","s"), response = "g", cumulative = TRUE,n.ahead = 20, ortho=TRUE)
I got the output and plotted it, it looked like cumulative values of estimated MA coefficients. But then I ran the code with
cumulative switched to
FALSE as below:
irf(vecm.l, impulse = c("g","p","h","l","s"), response = "g", cumulative = FALSE,n.ahead = 20, ortho=TRUE)
Output from these two codes is identical. Including
cumulative = TRUEin the
irf function does not produce the cumulative responses??
Please note that I converted a
vecm model to
vec2var, hence the input model is called
vecm.l here. Though, I doubt it plays any significance in deriving cumulative IRFs.
I would appreciate your comment, am I specifying the function incorrectly? Thanks,