This video goes through building a VECM model in R together with diagnostics, IRFs, and FEVD post estimation.
Created by Justin S. Eloriaga
Code and Dataset here:
https://drive.google.com/drive/folders/1U63OgZzcHBpCDaSEbwhf0OCTU4SmAvCW?usp=sharing
Video on Johansen Cointegration: https://www.youtube.com/watch?v=VjMLj7crVkw