Siliverstovs, Boriss (contributor); Engsted, Tom (contributor) - 2002 - [Elektronische Ressource]
specified error-correction model (ECM), which does impose cointegration, and they find
that longer-run forecasts from the ECM … the system in (3). The Vector Error-Correction
model (VECM) can be represented as follows:
2
4 ∆xt
∆yt
3
5 =
2
4 0
¡1
3
5 …