Hi everybody
I will give you one example for one long-run relationship (one cointegrating vector): just recover the error term derived from the long run equation, replicate the same VECM results meaning that you have to include the lagged residual as an exogenous variable: If there is stability condition, then the model is right.
I hope it will answer your question!!!
I will give you one example for one long-run relationship (one cointegrating vector): just recover the error term derived from the long run equation, replicate the same VECM results meaning that you have to include the lagged residual as an exogenous variable: If there is stability condition, then the model is right.
I hope it will answer your question!!!