Naka, Atsuyuki; Tufte, David - In: Applied Economics 29 (1997) 12, pp. 1593-1603
A system of reduced forms with cointegrated variables may be estimated in two ways: as a vector autoregression in levels, or as a vector error correction model. The latter is a restricted version of the former. If there is cointegration, imposing this restriction will yield more efficient...