Time Series Analysis

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  • #468

    The standard ARDL bounds test is used only  when  the series are I(0) and I(1). What  happens of if one  of the series is I(2)? For instance, if I have Y= I(1), x1=I(0), and x2=I(2) and I want to see the impact of changes in X1 and X2 on Y. What should I do if:

    1. I am not interested in the long-run relationship but only the short-run?

    2. If I am interested in both the long and the short-run relationship?

    3. Also  what  should I do if the ARDL bounds  test show no co-integration (The Ho was not rejected)?

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