Package: rbfmvar Type: Package Title: Residual-Based Fully Modified Vector Autoregression Version: 2.1.0 Authors@R: c( person("Muhammad", "Alkhalaf", email = "muhammedalkhalaf@gmail.com", role = c("aut", "cre", "cph"), comment = c(ORCID = "0009-0002-2677-9246")), person("Yoosoon", "Chang", role = "ctb", comment = "Original RBFM-VAR methodology")) Description: Implements the Residual-Based Fully Modified Vector Autoregression (RBFM-VAR) estimator of Chang (2000) . 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) 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. License: GPL-3 URL: https://github.com/muhammedalkhalaf/rbfmvar BugReports: https://github.com/muhammedalkhalaf/rbfmvar/issues Encoding: UTF-8 Depends: R (>= 3.5.0) Imports: stats, MASS Suggests: testthat (>= 3.0.0), knitr, rmarkdown RoxygenNote: 7.3.3 Config/testthat/edition: 3 Repository: https://muhammedalkhalaf.r-universe.dev Date/Publication: 2026-09-28 18:52:01 UTC RemoteUrl: https://github.com/muhammedalkhalaf/rbfmvar RemoteRef: HEAD RemoteSha: 214b1af41596db26f6b7eecb67ad9de52d008b08 NeedsCompilation: no Packaged: 2026-10-28 12:28:29 UTC; root Author: Muhammad Alkhalaf [aut, cre, cph] (ORCID: ), Yoosoon Chang [ctb] (Original RBFM-VAR methodology) Maintainer: Muhammad Alkhalaf