Auto-Regressive Distributive Lag

Auto-Regressive Distributive Lag (ARDL)

If the variables of interest have a mixed order of integration or are not all non-stationary, the Johansen cointegration test cannot be used directly because it requires all variables to be I. (1). An autoregressive distributed lag (ARDL) model is an ordinary least square (OLS) based model that may be used to represent both non-stationary and mixed order of integration time series. In a general-to-specific modelling framework, this model uses a suitable number of delays to reflect the data generation process.
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