ARDL cointegration and long run form.

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NipNip
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Joined: Thu Oct 20, 2016 4:46 pm

ARDL cointegration and long run form.

Postby NipNip » Wed Feb 01, 2017 8:42 am

I know when a AR term is introduced in a model, the equation becomes a short run equation.

Y = intercept + B2 * Y(-1) + B3 * X1 + B4 * X2

Here, B3 and B4 are short run coefficients.

Whe i run an ARDL model and get its cointegration and long run form, I get this results

D(Y) = intercept + B2 * D( Y(-1)) + B3 * D(X1) + B4 * D(X2) + ECT(-1)

Here, B3 and B4 are short run coefficients too. But what is their interpretation. Is it the same as the former?

Regards,

Joel

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