VECM estimation
Jonathan Combination of package vars and urca will provide what you need, showing different p-values of the lags and alpha coefficients, including deterministic regressor (but no orthogonal one), and various specification tests. P-values for beta are, as far as I know, not available, but function blrtest() from urca can test for the betas. Package tsDyn, which deals with nonlinear VAR and VECM, has a few alternative VAR and VECM() estimation and representation functions, with a toLatex() method to export the VAR/VECM matrix equation into Latex. Hope this helps Matthieu Le 09. 10. 10 18:07, Pete B a ?crit :
Jonathan The following CRAN link provides a full listing of packages that are useful for computational econometrics http://cran.r-project.org/web/views/Econometrics.html HTH Pete