I did a study with structural vector autoregression (SVAR model) corresponding to the IS-LM model (a macroeconomic model). I have four variables that are I(1). I have fitted the SVAR model to the first differences of the original variables. I analysed the impulse response function (IRF). The interpretation of the IRF was contradictory to the economic reality.
- What could be the causes of such result?
- Could it be due to cointegration between variables?