def METHOD_NAME():
    """Compare sktime's ARDL interface with statsmodels ARDL with different data."""
    from statsmodels.datasets import grunfeld
    from statsmodels.tsa.ardl import ARDL as _ARDL
    # data
    data = grunfeld.load_pandas().data
    oos = data.iloc[-5:, :]
    data = data.iloc[:-5, :]
    y = data.value
    X = data[["capital", "invest"]]
    X_oos = oos[["capital", "invest"]]
    # fit
    lags = 1
    trend = "ct"
    order = 2
    sm_ardl = _ARDL(y, lags, X, order=order, trend=trend)
    res = sm_ardl.fit()
    ardl_sktime = ARDL(lags=lags, order=order, trend=trend)
    ardl_sktime.fit(y=y, X=X, fh=None)
    # predict
    fh = ForecastingHorizon([1, 2, 3])
    start, end = X.shape[0] + fh[0] - 1, X.shape[0] + fh[-1] - 1
    y_pred_stats = sm_ardl.predict(res.params, start=start, end=end, exog_oos=X_oos)
    y_pred = ardl_sktime.predict(fh=fh, X=X_oos)
    return assert_allclose(y_pred, y_pred_stats)