Question: 17.10 Consider the cointegrated model Yt = uXt + v1t and Xt = Xt - 1 + v2t, where v1t and v2t are mean 0

17.10 Consider the cointegrated model Yt = uXt + v1t and Xt = Xt - 1 + v2t, where v1t and v2t are mean 0 serially uncorrelated random variables with E(v1t v2j) = 0 for all t and j. Derive the vector error correction model [Equations (17.22) and

(17.23)] for X and Y.

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