I have a four variables, two of which are $I(0)$ and the other two are $I(1)$. I've decided to use ARDL (Auto regressive distributed lag) model because I have a mix of $I(0)$ and $I(1)$ variables.
Do I still need to take the first difference of all variables so that they all become $I(0)$? Or, can I run the ARDL in levels?
