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TheVECM package provides tools for estimating and analyzingmultivariate time series data that exhibit long-term equilibriumrelationships, allowing for the incorporation of both short-termdynamics and long-run cointegration between variables. It facilitatesmodel specification, estimation, impulse response analysis, andforecasting.

The package is on development and further features will be introduced infuture versions.

VECM is not onCRAN yet, but you caninstall it as follows:

install.packages("devtools")devtools::install_github("GianlucaCarpigo/VECM")

$\underline{\text{Attention!}}$ Windows users must haveRtools installed forthis to work.

VECM is licensed under theGNU General Public License Version3.

To help develop the package, please follow thecontributionguidelines.

If you have any questions, you can ask them in thediscussionforum.

VECM is released with aContributor Code ofConduct. By contributing, you agree to abide by itsterms.