How can I plot Impulse Responses Functions and confidence bands in R as shown in the image below:

I enter image description here

  • $\begingroup$ See the vars package. $\endgroup$ – Christoph Hanck Sep 11 '15 at 14:56
  • $\begingroup$ Thanks @Christoph, but I want to have some sort of shading between the confidence bands as in this image. $\endgroup$ – mr.rox Sep 11 '15 at 14:59
  • $\begingroup$ If you retrieve the upper and lower values of the bands, you can do that with the general purpose polygon command. $\endgroup$ – Christoph Hanck Sep 11 '15 at 15:01

Here is an answer using the polygon function in R

#Generate some psuedo data
x = seq(0,10,.01)
IRF = sin(pi*x/5)+.8*cos(4*pi*x/5)  #This is the IRF values
lower = IRF - 1                     #Lower 95% limit
upper = IRF + 1                     #Upper 95% limit

polygon(c(x,rev(x)),c(lower,rev(upper)),col="lightgrey",border=NA)  #This function creates the CI bands

This code generates the following image:

enter image description here

  • $\begingroup$ My code makes the assumptions that you can calculate or have the values for IRF and the upper and lower limits of the confidence interval. $\endgroup$ – user30490 Sep 11 '15 at 15:03

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