ARDL and ECM lags

Cross Validated Asked by PHP Useless on August 8, 2020

What number of lags should I take in ECM model from ARDL specification? Assume I have equation y=x+z+r+h and ARDL(3,2,1,0). Should I specify ECM model as this d(Y)=d(Y,1) + d(Y,2) + d(X,1) + d(R) + d(H)[what should I do with H?] ?

And how to define EC term? Residuals of y c x z r h or that of y c y(-1) x(-1) z(-1) r(-1) h(-1)

ardl ecm econometrics

ARDL and ECM lags

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