Questions and discussions on Time Series Analysis
I am using ARDL approach to cointegration for estimating a model having I(0) dependent variable, four I(1) and two I(0) independent variables. Is it possible to conduct impulse response and variance decomposition analysis for such an ARDL model in RATS ?
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What would that mean? The response of an I(1) variable to a shock in itself is persistent. Without equations for those other variables, how do you measure the response of your dependent variable other than an impact response?
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