set.seed(123456)
n<-1000
e1<-rnorm(n);e2<-rnorm(n)
x<-cumsum(e1);y<-0.6*x+e2
lr.reg<-lm(y$\sim$x)
error<-residuals(lr.reg)
error.lagged<-error[-c(n-1,n)]
dx<-diff(x);dy<-diff(y)
diff.dat<-data.frame(embed(cbind(dx,dy),2))
colnames(diff.dat)<-c("dx","dy","dx.1","dy.1")

ecm.reg<-lm(dy~error.lagged+dx.1+dy.1,data=diff.dat)
summary(ecm.reg)
plot(x,type="l");plot(y,type="l");plot(x,y)