# How to get Impulse Response Function for non stationary data

I am currently working on a model where I am trying to compute the response of macroeconomic variables like gdp and CPI as well as Gini Koefficient to monetary policy shocks. My problem now is I have non stationary data and would like to generate Impuls response functions. I thought I might do a Var Model on first differences for short run and vecm to look in to the long run relationships, so that I could get my IRF from the Var of first differences...is that logical ? If not can anyone advise me on what I should do ? Thanks !!!

Impulse response analysis is only concerned with your estimated $$\hat A_i$$. I see no problem in analyzing IRF when your estimator is obtained through a regression on differenced data. It should be a valid estimate of the population parameter $$A_i$$ given that the usual assumptions are satisfied (well specified model).