statsmodels.tsa.ardl.UECM.from_ardl

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

Construct a UECM from an ARDL model

Parameters:

  • ardl (ARDL) – The ARDL model instance

  • missing ({"none", "drop", "raise"}, default "none") – How to treat missing observations.

Returns:

The UECM model instance

Return type:

UECM

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.