The VECM package provides tools for estimating and analyzing multivariate time series data that exhibit long-term equilibrium relationships, allowing for the incorporation of both short-term dynamics and long-run cointegration between variables. It facilitates model specification, estimation, impulse response analysis, and forecasting.
The package is on development and further features will be introduced in future versions.
VECM is not on CRAN yet, but you can install it as follows:
install.packages("devtools")
devtools::install_github("GianlucaCarpigo/VECM")VECM is licensed under the GNU General Public License Version 3.
To help develop the package, please follow the contribution guidelines.
If you have any questions, you can ask them in the discussion forum.
VECM is released with a Contributor Code of Conduct. By contributing, you agree to abide by its terms.