I use following example code to plot an impulse response function:
# Load data and apply VAR
library("vars")
data(Canada)
data <- Canada
data <- data.frame(data[,1:2])
names(data)
var <- VAR(data, p=2, type = "both")
# Apply IRf
irf <- irf(var, impulse = "e", response = "prod", boot = T, cumulative = FALSE, n.ahead = 20)
str(irf)
plot(irf)
# Response
irf$irf
# Lower & Higher
irf$Lower
irf$Upper
#Create DataFrame and Plot
irf_df <- data.frame(irf$irf,irf$Lower,irf$Upper)
irf_df$T<-seq.int(nrow(irf_df)) #T
irf_df
plot(data.frame(irf_df$T, irf_df[1]), type="l", main="Impulse Response")
abline(h=0, col="blue", lty=2)
If you want to plot the Lower
and Upper
bands, you can use the lines()
function, setting the y-limits of the plot if desired.
plot(irf_df$T, irf_df$prod, type="l", main="Impulse Response",
ylim = c(min(irf_df$prod.1), max(irf_df$prod.2)) * 1.1)
abline(h=0, col="blue", lty=2)
lines(irf_df$T, irf_df$prod.1, lty = 2)
lines(irf_df$T, irf_df$prod.2, lty = 2)
For a fancier plot with the confidence band filled in, use polygon
. Here, we set up an empty plot, then plot the polygon, and finally overlay the line. Also note here that there's no need to set up a new data.frame: we can simply use values from the irf()
output:
plot(irf$irf$e, type = "n", main = "Impulse Response",
ylim = c(min(irf$Lower$e), max(irf$Upper$e)))
polygon(x = c(seq_along(irf$irf$e), rev(seq_along(irf$irf$e))),
y = c(irf$Lower$e, rev(irf$Upper$e)),
lty = 0, col = "#fff7ec")
lines(irf$irf$e)