R help - Jul 2013 - Why does impulse response function of VAR starts at zero and not at one?

Hi there,
I have estimated a bivariate VAR model (with series x1 and x2 as endogenous
variables):

y=cbind(x1,x2)
z=cbind(d1,d2,d3,d4,d5,d6,d7,d8,d9)       # some dummy variables

model<-VAR(y, p = 3, type = c("const", "trend",
"both", "none"),
season = NULL, exogen = z, lag.max = NULL,
ic = c("AIC", "HQ", "SC", "FPE"))

and I have plotted the cumulative impulse response function with:

impulseresponse<-irf(lagmodel, impulse = "x2", response =
"x1", n.ahead 400,
ortho = TRUE, cumulative = TRUE, boot = FALSE)
plot(impulseresponse)

Now as the impulse response function shows the effect on e.g. x1 of a unit
shock in x2 I expect the value at t=0 to be at or around one (depending on
whether there is an interscept in the model). Why then, does all impulse
response plots I get start at zero?

I really hope someone can help me out! Thanks in advance.

Jose

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Hi there,
I sent this e-mail two days ago, but I did not see it pass by the R-help
mailinglist and I was wondering if you could post it or is there a que?
Thanks in advance.

Kind regards,
Jose




---------- Forwarded message ----------
From: José Verhoeven <jose@memo2.nl>
Date: 2013/7/22
Subject: Why does impulse response function of VAR starts at zero and not
at one?
To: r-help@r-project.org


Hi there,
I have estimated a bivariate VAR model (with series x1 and x2 as endogenous
variables):

y=cbind(x1,x2)
z=cbind(d1,d2,d3,d4,d5,d6,d7,d8,d9)       # some dummy variables

model<-VAR(y, p = 3, type = c("const", "trend",
"both", "none"),
season = NULL, exogen = z, lag.max = NULL,
ic = c("AIC", "HQ", "SC", "FPE"))

and I have plotted the cumulative impulse response function with:

impulseresponse<-irf(lagmodel, impulse = "x2", response =
"x1", n.ahead 400,
ortho = TRUE, cumulative = TRUE, boot = FALSE)
plot(impulseresponse)

Now as the impulse response function shows the effect on e.g. x1 of a unit
shock in x2 I expect the value at t=0 to be at or around one (depending on
whether there is an interscept in the model). Why then, does all impulse
response plots I get start at zero?

I really hope someone can help me out! Thanks in advance.

Jose

	[[alternative HTML version deleted]]