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Im very new to ECMs so Im still getting my head around it but I guess the purpose of adding lagged changes of the dependent variable to the ECM is a way of capturing these dynamics? (Ill find out when I look at the final residuals anyway)

But it doesn't make much sense to add it because of it being a unit root, and it also makes the sign of one of the other variables wrong.
But I just had a thought-I don't have to use the resulting residuals for an ECM? Cant I just create an ARMA model of the residuals and combine it with the LR part?

HI, I am estimating a cointegrating relationship but I really need to include a lag of the dependent variable in the long run relationship. I was wondering if this was 'allowed'? When I miss it out the resulting residuals are stationary even though they are serially correlated so I can model these d...

So I know this was posted years ago but Ive just stumbled on it and one thought for anyone else reading this now is that there is the idea that GDP could be difference stationary rather than trend stationary

HI, I am learning econometrics and am playing with some datasets to practise different modelling techniques. I have included a lagged dependent variable to remove much of the serial correlation but there is still some obvious serial correlation left but only for part of the series. I did think to ju...