In Engle-Granger 2-step ECM model,
if there are cointegration relationships then OLS result(1st step) shows a long-run relationship between variables.
Short-run relationship is expressed by ECM(2nd step) with error correction terms which we get from OLS(1st step).
E-G is the simplest case that there is only one cointegration relationship.
We also can get a cointegration equation (for specific one, especially the first variable) from VECM with rank=1.
I wonder the cointegration equation from VECM with rank=1 is equal to OLS?
I think it should be but in my model they are different.
How can I fix it?