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)?