Journal of Statistical and Econometric Methods· 2016
Autoregressive Distributed Lag (ARDL) cointegration technique: application and interpretation
- 786citations
- 2016year
Short summary
The Autoregressive Distributed Lag (ARDL) cointegration technique can identify long-run relationships between variables without pre-testing for unit roots, making it robust for small sample sizes and variables integrated at different orders (I(0), I(1)).
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General Economics, Econometrics and FinanceEconomics, Econometrics and Finance