Can we use Dummy variables/binary variables in ARDL Approach of Cointegration? If yes, how?

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Chuck A Arize

Yes, you can but make sure that the dummy is not over 20% of the data. You may want to read the paper by Pesaran, Shin and Smith (2001)!

Actually, this is stated on footnote 17 of Pesaran et al (2001) p307

Sharafat Ali

Hashim Zameer

could you please share the link/DOI of your paper that you mentioned in the comment?

Thank you so much Professor.