statsmodels.tsa.ardl.UECM.from_ardl¶

classmethod UECM.from_ardl(ardl, missing='none')[source]¶

Construct a UECM from an ARDL model

Parameters:¶

ardlARDL

The ARDL model instance

missing{“none”, “drop”, “raise”}, default “none”

How to treat missing observations.

Returns:¶

UECM

The UECM model instance

Notes

The lag requirements for a UECM are stricter than for an ARDL. Any variable that is included in the UECM must have a lag length of at least 1. Additionally, the included lags must be contiguous starting at 0 if non-causal or 1 if causal.