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rplotvisualizationvar

How to visualize impulse response function of exogenous variables in VAR? R

Hello Stack community,

I am building the vector autoregression model with three endogenous and one exogenous variables. As I visualize impulse response functions (IRF) using the irf() function built for VAR package in R, it only plots IRFs with endogenous variables.

However, what I am interested in is the effect of exogenous variable on each endogenous variable, hence I need to plot IRF for exogenous variable.

I would greatly appreciate if someone has an idea how to obtain such plots? Is there a separate package for it? or if not the package, how else shall I deal with it?

Solution

  • I found the package MTS has what you need:

    Install it using library("MTS") and use the VARXirf() function:

    VARXirf(model,lag=12,orth=TRUE)

    Link to the package