Realizing that this is old thread, but it is still unanswered... Manuel, what you are observing as an 'offset' in the plot is the error correction mechanism in action. The best way to observe the effects of the ECM would be to revise your plot and show actuals, structural (unconditional) forecasts, and error corrected (conditional) forecasts. On your output statement, use PREDICTEDM= and PREDICTED= for the structural and conditional forecasts, respectively. You will find that there is a substantial difference in fit visually. This is because, in an AR(1) model, the ECM 'corrects' the structural forecast for the current period by applying a percentage of the last period's residual (something a little different happens in the out-of-sample period). Your ECM forecasts will always be expected to 'follow' your actual values in the in-sample period. Be very cautious of relying on the goodness of the in-sample fit, as for this type of model, that may or may not be indicative of accurate forecasts. Hope this helps any stragglers coming across this post!
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