Is there any stable package that could build a cointegration or VECM model? Thanks!
The code I used for my thesis is in https://github.com/andreasnoack/Cointegration.jl. It should work but it’s old, undocumented, and mainly targeted the I(2) model since that was the topic of my thesis. I’d be happy to help you using it, though, and I’d also be happy to review PRs if you want to add features.