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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 13 Sep. 2026.
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