I'm having a question regarding the output of the irf function of the vars package.
What is the difference in relation to the output for arguments _cumulative = TRUE/FALSE_ and _ortho = TRUE/ FALSE_ ?
Another thing, the impulse on the variable is 1%, 10% or 1 standard deviation? And where can I choose the impulse value?
It seems that ortho = TRUE/FALSE serves to control a possible autocorrelation between variables (or their errors), making the marginal effect "cleaner". This is done internally by adjusting the pulses by an array that results from the cholesky decomposition of the error covariance matrix.
Already cumulative = TRUE/FALSE allows the marginal effects to be accumulated or not (a classic cumsum() ).
As for the boost, it is apparently preset, and in that function it would not be able to be changed. You can see in Phi that it is set to diag(K) , where K is the number of variables.
More information on: link
You can see function codes using:
methods(irf)
getS3method("irf","varest")
vars:::.irf
vars:::Psi
methods(Psi)
getS3method("Psi","varest")
getS3method("Phi","varest")