Autoregressive Distributed Lag (ARDL) cointegration ...

Journal of Statistical and Econometric Methods, , , 2016, 63-91. ISSN: 1792-6602 (print), 1792-6939 (online). Scienpress Ltd, 2016. Autoregressive Distributed Lag (ARDL). cointegration technique: application and interpretation Emeka Nkoro 1 and Aham Kelvin Uko 2. Abstract Economic analysis suggests that there is a long run relationship between variables under consideration as stipulated by theory. This means that the long run relationship properties are intact. In other words, the means and variances are constant and not depending on time. However, most empirical researches have shown that the constancy of the means and variances are not satisfied in analyzing time series variables. In the event of resolving this problem most cointegration techniques are wrongly applied, estimated, and interpreted.

introduction. Section two, examines the concept of stationarity, section three focuses on various unit roots tests, section four deals on ARDL cointegration approach, section five focuses on summary and conclusions. 2 Stationary and Non- Stationary Series Concept . A non-stationary time series is a stochastic process with unit roots or structural

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  Introduction, Unit, Stochastic

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