r(498) - Obtaining optimal lag orders for PMG estimator

[Ngozi ADELEYE]

Dear all,

I use Stata 13 and I received an error message while attempting to obtain optimal lag orders for my PMG model. I have 10 countries and 3 variables from 1980 to 2015. I used this command:

forval i = 1/10 {
ardl dcb dr gdp if (c_id==`i'), aic ec
matrix list e(lags)
di
}
This tells Stata to automatically generate AIC-optimal lag orders which it was able to do BUT for only the first 9 countries after which I got this error message:

Maximum number of iterations exceeded.
r(498);

I also tried increasing the number of iterations by using this code:

forval i = 1/10 {
ardl dcb dr gdp if (c_id==`i'), aic ec maxcombs (2500)
matrix list e(lags)
di
}

I received the same output as before and same error message, I still don’t have the optimal lag order for the 10^th country.

Please what can I do, or can anyone advise on another way of obtaining lag orders for a PMG model?

Thank you.