Lag structure of the ARDL model in levels

Model 1

Model 2

(1, 1)

(1, 1, 1)

MVE(−1)

−0.0795***

0.0059

−0.1042***

0.0064

BVE(−1)

0.0322***

0.0063

0.0211***

0.0064

NI(−1)

-

1.1925***

0.1264

ΔMVE(−1)

-

-

ΔBVE

0.4815***

0.0320

0.4116***

0.0333

ΔNI

-

0.5756***

0.1109

Intercept

2.72E+09***

3.19E+08

3.21E+09***

3.25E+08

LR_BVE

0.4048***

0.0745

0.2030***

0.0598

LR_NI

-

11.4495***

1.1273

Adjusted R²

29.09%

30.63%

# obs.

5131

5052

{N, T}

{77, 80}

{77, 80}