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Lag length selection in a dynamic model, ARDL approach to cointegration in R
I want to programme an ARDL approach to cointegration in R. Below is the generic equation:
$$\Delta y_t=\beta_0+\sum \beta_i \Delta y_{t-i}+\sum \gamma_k \Delta x_{1,t-k}+\sum \psi_j \Delta x_{2,t-j}+\...
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