Test for impulse response with vector autoregression in R

Question

I did a lot of VAR modeling in R using the VAR functions, then, I wanted to do impulse response testing.

My professor used the SVAR function, which I understand is for structured vector autoregressions (which have different underlying assumptions). Is there a way to do impulse response testing and make it clear that I'm doing it in a VAR environment?

Answer 1

You can do impulse-response analysis (rather than testing, as you refer to it) of a VAR model using the irf function from the "vars" package in R. The functions takes an estimated VAR model -- an object of class varest. This is described in Section 3.4 of the package vignette.