Intepretating the plot of an Impulse Response Function in R

syang Source

I am having trouble interpreting the output of plot(irf) in R. As an example:

example = VAR(Canada)
irf = irf(example, n.ahead = 10, orthogonal = TRUE, cumulative = TRUE)

Produces the following plot

enter image description here

My understanding of the plot is that it shows the expected change in the variables due to a one unit shock to e. However, shouldn't all the variables start from y = 0 if this is the case? Looking at the plot for U, it starts at a point above zero, which does not make much sense to me.



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