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 var using 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,


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