Question: Consider the cointegrated model Yt Xt = 0Xt + vit, Xt-1+U2t, where it and v2t are mean zero serially uncorrelated random variables with E

Consider the cointegrated model Yt Xt = 0Xt + vit, Xt-1+U2t, where

Consider the cointegrated model Yt Xt = 0Xt + vit, Xt-1+U2t, where it and v2t are mean zero serially uncorrelated random variables with E [vtv2j] = 0 for all t and j. Derive the vector error correction representation for this model.

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