Panel vector error correction model (VECM) in R – General

Hi all,

Despite being able to find several packages to estimate a vector error-correction model (VECM) (e.g. tsDyn and ecm) in R, I find it surprising that I could not find anything for estimating a VECM in a panel context. There exists an excellent package for estimating panel vector autoregressive models (VAR) (i.e. the panelvar package), but I was not able to find anything for panel VECM. So I am turning to the R hive mind to ask if you good folks know something that I don’t.

Thank you very much.