We examined the relationship between climate variables and grassland area burned in Xilingol, China, from 2001 to 2014 using an autoregressive distributed lag (ARDL) model, and describe the application of this econometric method to studies of climate influences on wildland fire. We show that there is a stationary linear combination of non-stationary climate time series (cointegration) that can be used to reliably estimate the influence of different climate signals on area burned. Our model shows a strong relationship between maximum temperature and grassland area burned. Mean monthly wind speed and monthly hours of sunlight were also strongly associated with area burned, whereas minimum temperature and precipitation were not. Some climate variables like wind speed had significant immediate effects on area burned, the strength of which varied over the 2001–14 observation period (in econometrics terms, a ‘short-run’ effect). The relationship between temperature and area burned exhibited a steady-state or ‘long-run’ relationship. We analysed three different periods (2001–05, 2006–10 and 2011–14) to illustrate how the effects of climate on area burned vary over time. These results should be helpful in estimating the potential impact of changing climate on the eastern Eurasian Steppe.