I'm wondering if any R package that has the estimator for time varying
cointegration[1]. I've only been able to find the Gauss code for it.

I've checked the CRAN task view, urca, vars, tsDyn and other packages and
haven't found anything yet.

[1] Bierens, H. and Martins, L. (2010). Time varying cointegration.
Econometric Theory, 26.

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