I'm using the vars package to visualize impulse responses. Example:
library(vars)
Canada <- Canada * 1000
var <- VAR(Canada, p = 2, type = "both")
plot(irf(var, impulse = "rw", response = "U", boot = T, cumulative = FALSE, n.ahead = 20))
However, the plot function is currently not perfectly suited to my needs and I prefer to make my own plot with the data. Now, how can I visualize the data in
irf(var, impulse = "rw", response = "U", boot = T, cumulative = FALSE, n.ahead = 20)
? If possible, I would also prefer to draw a 95% band (filled area between the upper and lower 95% level) rather than an upper and lower line.