This paper examines the use of autoregressive distributed lag (ARDL) models for the analysis of long-run relations when the underlying variables are I(1). It shows that after appropriate augmentation of the order of the ARDL model, the OLS estimators of the short-run parameters are p T -consistent with the asymptotically singular covariance matrix, and the ARDL-based estimators of the long-run ...

A new approach is developed to examine potential causality between merger activity and industrial production. The proposed method combines an information criterion based approach to lag optimisation with joint maximum likelihood estimation of an autoregressive distributed lag model and GARCH(1,1) specification. Application to UK data provides significant evidence in support of causality between...