Hi everyone.
The ARDL can be used when variables are of different order of intégration not greater than one!! if one variable is I(2) for instance, the ARDL is no longer suitable.
Does anyoneby the way knows if variables are integrated I(d) with different orders with d>1 which method to use?
As longer as the data is stationary at level or stationary at first difference, the ARDL can be used.
Thanks
Dear Devesh Kumar Pant I think that it would be a great idea to replace the variable that is integrated to order 2 or higher and to find a substitute of that variable if that is not that excruciating.
Usually choosing I(2) for estimation is not a viable decision. If you still want to proceed then ARDL will be better.
Dear Mwoya Byaro
My question is that, if one of the series is I(2), then which model can be used for testing of cointegration.
thank you.
Use a structural break unit root test. That variable should be either stationary at level or stationary at first difference. DF and ADF tend to fail in case the variables have structural break.
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