I have a four time series variables. They are a mix of I(0) and I(1) variables. There is also more than one cointegrating relationship among the variables. If there is more than one cointegrating relationship among the variables, then should I use VECM rather than ARDL? Or, is there an alternative model that might better suit my purposes?
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I believe Pesaran et al. talks about this in their paper: BOUNDS TESTING APPROACHES TO THE ANALYSIS OF LEVEL RELATIONSHIPS, JOURNAL OF APPLIED ECONOMETRICS J. Appl. Econ. 16: 289–326 (2001) DOI: 10.1002/jae.616
The paper suggests that there can only be one long-run (co integrating) relationship.
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$\begingroup$ Welcome to Cross Validated! As it stands this is more of a comment than an answer - would you add just an outline of what the paper says? Or we can convert this to a comment. $\endgroup$– Scortchi ♦Commented Aug 4, 2020 at 21:06