Abstract
The univariate models studied so far may be generalized to include one or more “input variables,” leading to the traditional transfer function-noise model. A simplified version of this, the autoregressive distributed lag, or ARDL, model has become a very popular framework for modeling a stationary output series as a linear function of current and lagged values of a set of stationary input series, not least because an automatic model selection procedure is available for finding the most appropriate dynamic specification. An important representation of the ARDL model is one in which the long-run relationship between the output and input variables is separated out from the short-run effects.
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