Well, but I'm actually asking for a specific R package. Can you recommend any?

For VECM and cointegration I recommend R or eviews.

For VECM and cointegration I recommend R or eviews.

For beginners, EVIEWS is good as it is user friendly. If you are good in codes, R is better.

Cointegration and VECM analysis are given in the link as Screenshots from EVIEWS.

Chapter Market Integration, Price Discovery and Volatility

Well, but I'm actually asking for a specific R package. Can you recommend any?

Hi Krzystof. I recommend to look at:

https://bookdown.org/ccolonescu/RPoE4/time-series-nonstationarity.html

https://bookdown.org/ccolonescu/RPoE4/vec-and-var-models.html

Here you can find a very nice introduction to the topic as well as the implementation in R.

Best wishes

Eviews

Thanks Sebastian,

do you have any recommendations concerning packages for estimating VEC and cointegration in panel setting?

You are welcome, Krzysztof.

But I do not know any packages for estimating VEC and cointegration in a panel setting. Until now I did not apply those approaches. Maybe you can transform your data to account for the panel setting. Like fixed effects, if this fits.

Thanks once more! I think I’ll have to look some more, or make some changes in the existing package.

Dear Krzysztof

You may check tsDyn package. This package contains several VECM specification.

In addition, I benefited much from the following book.

Bernhard Pfaff (2008). Analysis of integrated and cointegrated time series with R. Springer.

Also, you may want to have a look at the packages listed in CRAN Task View: Time Series Analysis maintained by Rob Hyndman.

https://cran.r-project.org/web/views/TimeSeries.html

Thanks a lot for your help!

thanks!