Hi All,
I have a time series y_t and 2 other time series x1_t and x2t as regressors. I
know that these 3 series are cointegrated via the Johansen tests. Hence I want
to implement an error correction model with 1 lag for each variable (i.e. Lag
y, lag x1 and lag x2) for projection purposes (suppose, I have future values
for the regressors).
Is there an R function I can use for this ECM model usage? Note that manually
it is a bit challenging to pull off because the RHS of this model would have a
lagged residual term, for which we have no future observations.
Any help here would be appreciated.
Regards,
Preetam
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