I just found an automatic VAR (vector autoregressive models) modelling
package in R with MIT license
https://github.com/roqua/autovarCore
https://github.com/roqua/autovar
This might have some interesting and useful ideas for us to add more
"automatic" features to time series models.
(besides Hyndman for forecasting, and Hendry/Doornik/PcGive for
general specification searches.)
Josef