ARDL Bounds Test T-test
Posted: Wed Oct 23, 2019 8:54 am
Hello Everyone,
I've been looking up quite a few papers that use the ARDL Bounds test for a variety of reasons.
From what I’ve seen, most papers just report the F-Test but do not report the T-Bounds test and some that do, have the t statistic in between the critical values but do not even comment on it.
From what I understand, the T-Bounds tests makes sure the cointegration is not nonsensical, but how is this test performed? What does it measure exactly? And why nobody cares about it?
What does it mean when I have a F statistic high enough to be way above the critical I(1) value but a T-statistic that lies between the I(0) and the I(1) value?
Beforehand thanks a lot for your kind answers!
I've been looking up quite a few papers that use the ARDL Bounds test for a variety of reasons.
From what I’ve seen, most papers just report the F-Test but do not report the T-Bounds test and some that do, have the t statistic in between the critical values but do not even comment on it.
From what I understand, the T-Bounds tests makes sure the cointegration is not nonsensical, but how is this test performed? What does it measure exactly? And why nobody cares about it?
What does it mean when I have a F statistic high enough to be way above the critical I(1) value but a T-statistic that lies between the I(0) and the I(1) value?
Beforehand thanks a lot for your kind answers!