Package: rbfmvar
Type: Package
Title: Residual-Based Fully Modified Vector Autoregression
Version: 2.0.2
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) <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.
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
NeedsCompilation: no
Packaged: 2026-04-02 15:26:13 UTC; SYSTEM
Author: Muhammad Alkhalaf [aut, cre, cph] (ORCID:
    <https://orcid.org/0009-0002-2677-9246>),
  Yoosoon Chang [ctb] (Original RBFM-VAR methodology)
Maintainer: Muhammad Alkhalaf <muhammedalkhalaf@gmail.com>
Repository: CRAN
Date/Publication: 2026-04-09 08:20:08 UTC
Built: R 4.6.0; ; 2026-04-27 01:11:50 UTC; unix
