Using cointegration coefficients to forecast?

Hi all,

I am looking for the following functionality in R... I couldn't find it.
Please help me.

Let's say the three time series X, Y, Z are cointegrated...

We can find cointegration coefficients to be [1, -a, -b] (the 1 here is for
normalization.)

I then want to use X=a*Y+b*Z for forecasting X based on Y and Z values (or,
filling out the missing values using the available values of Y and Z)

i.e. using cointegration much like linear regression...

How to do this in R

Any thoughts?

Thanks a lot!

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