[R] impulse responses: standard deviation or unit shocks?

Martin Ivanov tramni at abv.bg
Sat Oct 13 13:55:55 CEST 2007


Dear R users,

I am using the vars package to calculate the impulse response functions and the forecast error variance decomposition of a VAR model. Unfortunately I do not know whether these functions assume unit or one standard deviation shocks. I tried to look into the code of these functions, but in vain: neither irf, nor vars::irf, nor vars:::irf output the code of the functions. Does someone know whether irf and fevd assume one standard deviation or a unit shock? How can I see the code of these functions?

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