Question: 16.10 Consider the cointegrated model Yt = uXt + v1t and Xt = Xt - 1 + v2t, where v1t and v2t are mean zero

16.10 Consider the cointegrated model Yt = uXt + v1t and Xt = Xt - 1 + v2t, where v1t and v2t are mean zero serially uncorrelated random variables with E1v1tv2j2 = 0 for all t and j. Derive the vector error correction model

[Equations (16.22) and (16.23)] for X and Y.

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