I just found this paper "Panel Vector Autoregression in R: The Panelvar Package" (2017) by Michael Sigmund, Robert Ferstl and Daniel Unterkofler, which basically is a description of the methods implemented in R. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2896087 Additionally, there's another question here: https://stats.stackexchange.com/questions/237332/panel-vector-autoregression-models-in-r The authors are now in the process of publishing the code on CRAN, but already provide binary packages on researchgate. https://www.researchgate.net/project/Panel-Vector-Autoregression-Models-with-different-GMM-estimators The binary panelvar package can be downloaded directly, I think sources should be available on CRAN in the near future. https://www.researchgate.net/publication/322526372_panelvar_044