I estimated an ARDL model of 6 variables. After several attempts (using different lags) to find a better estimate, I got a selected ARDL model using AIC as (1,1,0,0,1,2) while using SIC is ARDL (1,0,0,0,1,2).
My questions are:
- Can I still use this model given these lag selections?
ARDL (1,1,0,0,1,2) = AIC
ARDL (1,0,0,0,1,2) = SIC
- Will the inference from these models be valid?