ukcons2 <- ts(embed(diff(ukcons), dim=2), start=c(1967,4), freq=4) colnames(ukcons2) <- c('lc.d', 'li.d', 'lw.d', 'lc.d1', 'li.d1', 'lw.d1') error.ecm1 <- window(lag(error.lc, k=-1), start=c(1967,4), end=c(1991, 2)) error.ecm2 <- window(lag(error.li, k=-1), start=c(1967,4), end=c(1991, 2)) ecm.eq1 <- lm(lc.d ~ error.ecm1 + lc.d1 + li.d1 + lw.d1, data=ukcons2) ecm.eq2 <- lm(li.d ~ error.ecm2 + lc.d1 + li.d1 + lw.d1, data=ukcons2)