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ARDL model: lag order selection for valid inference
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,...
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AIC/BIC values keeps falling as I add more and more lags. How do I select the appropriate lag length?
I am trying to minimize the values of the Akaike and Bayesian Information Criteria to figure out the optimal lag structure for my ARDL error correction model. I am using Stata to run my analysis and ...
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