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
missingstr, optional: How to treat missing observations. Available options are ‘none’, ‘drop’, and ‘raise’. If ‘none’, no NaN checking is done. If ‘drop’, any observations with NaNs are dropped. If ‘raise’, an error is raised. The default is ‘none’.

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.