RBFMVAR: Stata module to estimate the Residual-Based Fully Modified VAR (RBFM-VAR) model

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: rbfmvar implements the RBFM-VAR estimator of Chang (2000, Econometric Theory, 16(6), 905-926). The estimator provides valid inference for nonstationary VARs containing any unknown mixture of I(0), I(1), and I(2) variables without requiring prior unit-root pretesting. It extends Phillips (1995, Econometrica) FM-VAR and yields the optimal mixed-normal limiting distribution described in Theorems 1-2 of Chang (2000).

Language: Stata
Requires: Stata version 14
Keywords: VAR; fully modified VAR; nonstationary VAR (search for similar items in EconPapers)
Date: 2026-02-19
Note: This module should be installed from within Stata by typing "ssc install rbfmvar". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/r/rbfmvar.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rbfmvar.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rbfmvar_simulate.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rbfmvar_graph.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_rbfmvar_mata.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rbfmvar_example.do sample do-file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459600

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().