[R] S+Finmetrics cointegration functions

[Ivan Alves]

Dear all,

S+Finmetrics has a number of very specilised functions.  I am 
particularly interested in the estimation of cointegrated VARs (chapter 
12 of Zivot and Wang).  In this context the functions coint() and 
VECM() stand out.  I looked at package "dse1", but found no comparable 
functionality.  Are there any other packages you could point me to?  In 
general, are there efforts for replicating within one package the 
functionality of S+Finmetrics?  Thank you very much in advance for any 
guidance.

Best regards,

_______________________
Ivan Alves
mailto://papucho@mac.com