ARDL results change?

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Zwangu
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Joined: Fri Jun 03, 2022 9:09 am

ARDL results change?

Postby Zwangu » Tue Aug 02, 2022 5:49 am

Hi there,

I am trying to run an ARDL model to establish the existence of a long run result between 2 variables. when i specify Y as the dependent variable and X as a dynamic regressor i fail to find cointegration, the model further fails normality, serial correlation and heteroskedasticity. However, when specifying X as a dependent variable and Y as the dynamic regressor i am able to find a long run relationship result, and serial correlation and heteroskedasticity tests are passed. what causes the different results? side note; I noticed the differences in results when trying to run the Engle-Granger test on Y= c + bX vs when running X = c +bX.

Please help. Any advice on this would be greatly appreciated.

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