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 25 Oct. 2026.
Previous versions and publish date:
(2026-09-28 22:00), 2.0.2 (2026-04-09 10:20)
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

nlstools  
Tools for Nonlinear Regression Analysis
Several tools for assessing the quality of fit of a gaussian nonlinear model are provided. ...
Download / Learn more Package Citations See dependency  
fstcore  
R Bindings to the 'Fstlib' Library
The 'fstlib' library provides multithreaded serialization of compressed data frames using the 'fst' ...
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  
CTT  
Classical Test Theory Functions
A collection of common test and item analyses from a classical test theory (CTT) framework. Analyses ...
Download / Learn more Package Citations See dependency  
guardianapi  
Access 'The Guardian' Newspaper Open Data API
Access to 'The Guardian' newspaper's open API , containing ...
Download / Learn more Package Citations See dependency  
imputeTS  
Time Series Missing Value Imputation
Imputation (replacement) of missing values in univariate time series. Offers several imputation fu ...
Download / Learn more Package Citations See dependency  

29,218

R Packages

247,686

Dependencies

77,281

Author Associations

29,219

Publication Badges

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