I have a question related to a recent thread on CrossValidated.
Pesaran et al. (2001) propose an ARDL model that tests for cointegration with a bounds testing approach. What didn't get clear to me, after reading a few discussions and the paper, is following:
Can the ARDL model be applied to a bivariate system, or does it need more than two variables?
Or: Does the model work when testing
X:I(0),Y:I(1) only? Or does it only work for multivariate systems, such as
X:I(0), Y:I(1), Z:I(1), W:I(0), ...?