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 I couldn't find any information on the code and the authors have not yet responded to my question. Additionally, there's another question here: https://stats.stackexchange.com/questions/237332/panel-vector-autoregression-models-in-r