Other packages > Find by keyword >

rbfmvar  

Residual-Based Fully Modified Vector Autoregression
View on CRAN: Click here


Download and install rbfmvar package within the R console
Install from CRAN:
install.packages("rbfmvar")

Install from Github:
library("remotes")
install_github("cran/rbfmvar")

Install by package version:
library("remotes")
install_version("rbfmvar", "2.0.2")



Attach the package and use:
library("rbfmvar")
Maintained by
Muhammad Alkhalaf
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-04-09
Latest Update: 2026-04-09
Description:
Implements the Residual-Based Fully Modified Vector Autoregression (RBFM-VAR) estimator of Chang (2000) <doi:10.1017/S0266466600166071>. The RBFM-VAR procedure extends Phillips (1995) FM-VAR to handle any unknown mixture of I(0), I(1), and I(2) components without prior knowledge of the number or location of unit roots. Provides automatic lag selection via information criteria (AIC, BIC, HQ), long-run variance estimation using Bartlett, Parzen, or Quadratic Spectral kernels with Andrews (1991) <doi:10.2307/2938229> automatic bandwidth selection, Granger non-causality testing with asymptotically chi-squared Wald statistics, impulse response functions (IRF) with bootstrap confidence intervals, forecast error variance decomposition (FEVD), and out-of-sample forecasting.
How to cite:
Muhammad Alkhalaf (2026). rbfmvar: Residual-Based Fully Modified Vector Autoregression. R package version 2.0.2, https://cran.r-project.org/web/packages/rbfmvar. Accessed 04 Jul. 2026.
Previous versions and publish date:
No previous versions
Other packages that cited rbfmvar R package
View rbfmvar citation profile
Other R packages that rbfmvar depends, imports, suggests or enhances
Complete documentation for rbfmvar
Functions, R codes and Examples using the rbfmvar R package
Full rbfmvar package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

ggokabeito  
'Okabe-Ito' Scales for 'ggplot2' and 'ggraph'
Discrete scales for the colorblind-friendly 'Okabe-Ito' palette, including 'color', 'fill', and 'ed ...
Download / Learn more Package Citations See dependency  
CDVineCopulaConditional  
Sampling from Conditional C- and D-Vine Copulas
Provides tools for sampling from a conditional copula density decomposed via Pair-Copula Constructi ...
Download / Learn more Package Citations See dependency  
verbalisr  
Describe Pedigree Relationships in Words
Describe in words the genealogical relationship between two members of a given pedigree, using the a ...
Download / Learn more Package Citations See dependency  
nestfs  
Cross-Validated (Nested) Forward Selection
Implementation of forward selection based on cross-validated linear and logistic regression. ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  

27,737

R Packages

236,180

Dependencies

73,674

Author Associations

27,536

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA