AutoRegressive Distributed Lag (ARDL) Estimation. Part 3 - Practice

In Part 1 and Part 2 of this series, we discussed the theory behind ARDL and the Bounds Test for cointegration. Here, we demonstrate just how easily everything can be done in EViews 9 or higher.

While our two previous posts in this series have been heavily theoretically motivated, here we present a step by step procedure on how to implement Part 1 and Part 2 in practice.

AutoRegressive Distributed Lag (ARDL) Estimation. Part 2 - Inference

This is the second part of our AutoRegressive Distributed Lag (ARDL) post. For Part 1, please go here, and for Part 3, please visit here.

In this post we outline the correct theoretical underpinning of the inference behind the Bounds test for cointegration in an ARDL model. Whilst the discussion is by its nature quite technical, it is important that practitioners of the Bounds test have a grasp of the background behind its inferences.