I was wondering if it is possible to set up an Error Correction Model with two independent variables (one dep var, and two indep vars)?

If yes, what are assumptions/conditions to be met?

In the literature I could find on this topic, there is always one-on-one relationship (one dep var, and one indep var) in ECM.

Many thanks, Nur

  • $\begingroup$ Yes. Just use the same approach as you see in the literature and think of the independent variable as a vector rather than a scalar. Everything else extends directly in this case. $\endgroup$ – Andrew M Jan 25 at 10:19

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