I want to generate Generalised Impulse Response Functions in R Studio from a traditional VAR model. I’ve searched for how to it, but I’m only finding tutorials/examples on how to estimate GIRF from Bayesian VAR models.

Does anyone know whether it is possible to estimate GIRF from VAR models in R or if it can only be done through BGVAR?

Thanks!

I tried the GIRF function in R but I’m getting this error:

“Error in UseMethod(“GIRF”) :
no applicable method for ‘GIRF’ applied to an object of class “varest””