Hi,

I have selected optimal lags for an ARDL with two variables, plus impulse dummies (time series). The impulse dummies is not included in the LR relation. The ARDL is well-specified with respect to serialcorrelation, ARCH, normality, heteroskedasticity and RESET23. When I formulate it to an unrestricted ECM and the associated restricted ECM, these models do not pass all the mentioned diagnostics tests.

I´m working with I(0) variables and the bounds test indicates the existence of a LR relationship in levels.

Does anyone know if I could have done something wrong or if it is supposed to be like this?
Or am I supposed to estimate ECMs with different lags and/or dummies than included in the ARDL?

I´m so confused! Hope anyone understand my question