I'm currently looking to run an ARDL model - I'm able to compute results that show cointegration, however there is serial correlation when I run the Durbin-Watson and Breusch-Godfrey tests. To correct for this, I have tried to have larger lags, however this results in most of my coefficients becoming insignificant. I was wondering if there was another way to correct for this, such as using HAC standard errors?

If there is a solution e.g. HAC standard errors, how would I write it into an ARDL model on Stata?