Estimation of the ADL and ECM Models for Stationary Time Series in OxMetrics

We show how to estimate an ADL(1,1) model and the corresponding ECM model in OxMetrics. We first show how to estimate the ADL(1,1) model using data for the change in Danish consumption and the change in Danish income as the explanatory variable. We then show how to do a graphcial inspection of the estimated residuals, plot the (normalized) dynamic multipliers and long-run multipliers, and get the long-run solution. Finally, how to estimate the corresponding ECM model.