Title stata.com vec intro — Introduction to vector error ...
Using a bit of algebra, we can rewrite (3) and (4) as y t = z t 1 + 1t (5) x t = z t 1 + 2t (6) where = (1 ˆ)=( ), z t = y t+ x t, and 1t and 2t are distinct, stationary, linear combinations of ˘ t and t. This representation is known as the vector error-correction model (VECM). One can think of z t = 0 as being the point at which y t and x t ...
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