[Sebastian Kripfganz]

There is nothing that prevents you from conducting unit-root tests. Note that commands for conventional unit-root tests usually do not carry out tests for seasonal unit roots or tests against explosive alternatives. It is often sufficient to rule those out based on our knowledge about the time series in question - e.g., explosive time series are quite rare in practice.

[ahmed mohamed ak]

"Decide about the candidate variables xt that are assumed to be long-run forcing
for yt. These variables can be either I(0) or I(1). No pretesting is necessary
unless we suspect that a variable might be I(2). Stationary variables zt that are
suspected to affect the short-run dynamics—but not the long-run equilibrium—
can be added to the ARDL model as well. If there is doubt about the (trend)
stationarity of zt, unit-root tests can be carried out."
In this paragraph, you did not mention the degree of integration of the dependent variable. What is the degree of integration of the dependent variable?

[Sebastian Kripfganz]

The dependent variable can be I(0) or I(1). Again, no pretesting is necessary.

[ahmed mohamed ak]

What is your opinion, Professor, on this table?

[Simra Temmy]

Hi,
In my current study, if I don’t use nocons in the ARDL code, I encounter a heterogeneity and serial correlation problem. However, when I do use nocons, the heterogeneity problem disappears, even though some variables become insignificant.
So, the questions is what happens if I use the code with nocons? How can I explain why do I use nocons?
Thank you...

[Sebastian Kripfganz]

Without a regression constant, the estimates will almost always be biased, potentially severely. The nocons option should only be used when there is a theoretical justification (e.g., all variables have been standardized, or all variables are in first differences and do not follow a time trend). It is not an option to experiment with. The nocons option will certainly not help with heteroskedasticity or serial correlation. If the problem "disappears", that is just a reflection of the uselessness of the results without a constant.

In short, do not use the nocons option.