I need help with irf plots. I am working with R and hope You can help me here. My VECM model consist of three endogenous variables and two exogenous variables. When I transform VECM to VAR using vec2var function and try to plot impulse response functions it shows only endogenous variables, because vec2var takes cointegration test results and cointegration was tested between three I(1) variables. So is it possible to plot IRF with those exogenous variables or not really? I tried to use VARXirf, but it doesn't work for me.
My data:
structure(list(date = structure(c(1546214400, 1548892800, 1551312000,
1553817600, 1556582400, 1559260800, 1561680000, 1564531200, 1567123200,
1569801600, 1572480000, 1574985600, 1577750400, 1580428800, 1582848000,
1585612800, 1588204800, 1590710400, 1593475200, 1596153600, 1598832000,
1601424000, 1604016000, 1606694400, 1609372800, 1611878400, 1614297600,
1617148800, 1619740800, 1622419200, 1625011200, 1627603200, 1630368000,
1632960000, 1635465600, 1638230400, 1640908800, 1643587200, 1646006400,
1648684800, 1651190400, 1653955200, 1656547200, 1659052800, 1661904000,
1664496000, 1667174400, 1669766400, 1672358400), class = c("POSIXct",
"POSIXt"), tzone = "UTC"), avi96 = c(0, 3.10999999999999, 3.18000000000001,
2.06999999999999, 3.79, -6.25, 3.53000000000001, 3.70999999999999,
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-8.88, -12.83, 10.94, 1.73000000000001, 0.469999999999993, 2.59,
6.03, -2.89999999999999, -2.23, 9.32999999999999, 1.85, 1.06999999999999,
1.59, 5.54000000000001, 3.78000000000001, 0.519999999999987,
3.46, 2.11000000000001, 3.08999999999999, -3.04, 6.03, 1.05,
3.46, -7.80999999999998, -3.4, 5.96999999999999, -3.26, -5.33999999999999,
-8.18000000000001, 11.68, -2.12000000000001, -9.31999999999999,
5.66, 0.120000000000009, -6.13000000000001), avi89 = c(0, 2.47999999999999,
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3.54000000000001, 3.68999999999999, -1.69999999999999, 1.99,
0.829999999999997, 4.30999999999999, 1.05, 1.77, -8.99000000000001,
-12.68, 10.74, 1.88999999999999, 0.51000000000001, 2.75999999999998,
6.01, -2.87999999999999, -2.12000000000001, 8.94000000000002,
1.90999999999999, 1.18, 1.27999999999999, 5.68000000000002, 3.54999999999999,
0.0399999999999956, 3.75000000000001, 2, 2.99, -3.22, 6.21, 1.10999999999999,
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-7.78000000000001, 10.74, -1.77, -9.41000000000001, 6.19000000000001,
0.209999999999999, -5.71999999999999), avi82 = c(0, 2.64, 2.30000000000001,
1.79999999999998, 3.89000000000002, -6.16000000000001, 3.6, 3.65,
-1.63, 1.96000000000001, 0.839999999999996, 4.24, 1.12000000000001,
1.70999999999999, -9.00000000000001, -12.59, 10.87, 1.81, 0.570000000000004,
2.91999999999999, 6.04, -2.89999999999999, -2.02, 8.75999999999999,
2.03, 1.03, 1.21, 5.73000000000001, 3.63, -0.140000000000007,
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-2.92000000000001, -5.52999999999999, -7.74999999999999, 10.84,
-1.87999999999999, -9.31, 6.21, 0.209999999999999, -5.77000000000001
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0.850000000000017, 4.30999999999999, 1.09999999999999, 1.69000000000001,
-9.05, -12.73, 10.83, 1.85999999999999, 0.580000000000003, 3.01,
5.96999999999999, -2.94999999999999, -2.10000000000001, 8.7,
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-3.23, 5.98000000000001, 1.02, 3.46, -7.9, -3.4, 5.38000000000001,
-3.01, -5.61, -7.65, 10.72, -1.97999999999998, -9.34000000000001,
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9.5330120282788, 9.53813155944057, 9.54862172776332, 9.55900299386891,
9.56894779939131, 9.56614165901463, 9.56341852114707, 9.56059679989229,
9.55914808220437, 9.55779092749273, 9.55633813622136, 9.52670058541251,
9.49512341506964, 9.46358512351927, 9.46820769177734, 9.47280899018176,
9.4772417914128, 9.47734257526361, 9.47744009835223, 9.4775408622199,
9.48109644409051, 9.48429710719872, 9.48782878988212, 9.49166064704964,
9.49560486751224, 9.49940709976824, 9.50948847790104, 9.51946923539974,
9.52903410235035, 9.54422639425026, 9.5587120696073, 9.57346337036549,
9.57945441948591, 9.5848350110093, 9.59075851820953, 9.60767235378505,
9.62485454389854, 9.64120601544112, 9.66212047614465, 9.68260646807701,
9.70203987440834, 9.69431920882583, 9.68679040927181, 9.67895063912544
), log_cci_world = c(4.61446609380263, 4.61277821772403, 4.61331075141384,
4.61515114030563, 4.61654561269239, 4.61741790909265, 4.61667387658147,
4.61475796175261, 4.61210440764257, 4.61189685561528, 4.61356703849811,
4.61600998526375, 4.61799585862336, 4.61784626499577, 4.61330787560473,
4.60277023301779, 4.59132809646505, 4.58666841950006, 4.58717164824433,
4.58837654934904, 4.59059751202271, 4.59328883112521, 4.59424110855891,
4.59374163386604, 4.59412528763382, 4.59472152015799, 4.59693515378804,
4.60123153909827, 4.60423308989254, 4.60479244197868, 4.60395680791926,
4.60038748009664, 4.59543994917727, 4.5925448139507, 4.59058755330096,
4.58886818984625, 4.58736479091539, 4.58432260590939, 4.58025039378034,
4.576616768349, 4.57405218172779, 4.56985995266299, 4.56579695147534,
4.56508357652314, 4.5669702578309, 4.56839897041546, 4.56926511182164,
4.56999071374327, 4.57211892815316), log_interest_rate_world = c(0.73750617161218,
0.73750617161218, 0.73750617161218, 0.73750617161218, 0.73750617161218,
0.73750617161218, 0.73750617161218, 0.637327088752386, 0.637327088752386,
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0.0238870852051583, 0.0170609779484174, -0.00322052454865182,
0.0322969785228605)), class = "data.frame", row.names = c(NA,
-49L))
my code:
conin_test1 <- ca.jo(avi[,c(6:10)], type = "trace", ecdet = "none", spec = "longrun")
summary(conin_test1)
# Estimate VAR for avi
var_aic_avi96 <- VAR(avi[,c(2,6:10)], type = "const", lag.max = 7, season = 12)
# Lag order suggested by AIC
var_aic_avi96$p
#AVI 96
est_tsdyn_avi96 <- VECM(avi[,-c(1,3:5)], lag = 5, r = 3, include = "none", estim = "ML",exogen =avi[,2] )
# Print results
summary(est_tsdyn_avi96)
var_avi96 <- vec2var(conin_test1, r = 3)
I want to use this function, but when I use it it takes only cointegrated variables, and I need also those exogenous variables that I took in est_tsdyn_avi96 model.
suppressWarnings({
plot(irf(var_avi96, response = c(""), impulse = c(""), boot = TRUE,ci=0.95))
})
Please help.