I know that VAR should be employed only with stationary series. Is the same condition required for analysing impulse response? That is, should the impulse response be analysed on stationary variables only?
Because normally a VAR is estimated using stationary variables and after that impulse response can be analysed. But if our variables are cointegrated, then we proceed with estimating restricted VAR which is VECM. When I observed the impulse response after estimating VECM, I found that impulse response was shown for nonstationary variables.