In many articles I saw that ARDL model can be used when there is only 1 cointegration relationship. Therefore, to check the number of cointegration relationships I used Johansen cointegration test and found there is only 1 cointegration relationship. But in theory, ARDL model uses bound F statistic test to check whether there are cointegration relationships exist. How do we identify number of cointegration relationships using bound test. Is it unnecessary to use bound test if I already used the Johansen cointegration test?
The ARDL bounds test assumes at most one long run levels relationship. It does not test for multiple long run relations. The Johansen test can test for multiple cointegrating relationships. The difference is that the Johansen procedure assumes all levels variables are I(1) whereas the ARDL procedure assumes the dependent levels variable is I(1) and the independent variables can be I(1) or I(0). Using both tests may be useful if there is uncertainty over the orders of integration of the levels variables and the number of long run relations. If you are certain all levels variables are I(1) you only need to use Johansen. If you are certain there is one long run levels relationship and uncertain over the independent variables' orders of integration you only need to use the ARDL test.
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