ARDL for Xtpmg

[Filip Franzen]

Hi,

Looking through the internet for a way to handle ARDL for panel data it fell down onto Xtpmg. But I have a hard time understanding the setup I would need to do.

1. What is the best way to find the number of lags for my var, I found this code:

forval i = 1/# {      
                  ardl y x1 if (country==`i'), maxlag(n n)      
                  matrix list e(lags)
                  di    
             }

Regarding finding the optimal lags for my var with ARDL panel data. Is there any other way to find a better solution?

2. When I then find the optimal lag structure and implement them, how is the code in Stata? Is it like this?

 xtpmg Ln.y Ln.x,lr(l.y x) ec(ec) replace dfe cluster(country)

or

 xtpmg Ln.y Ln.x,lr(l.y x) ec(ec) replace pmg

Some info:
- T=8 N=70
- Two dependent variables
- One independent variable
- y1:I(1) x:I(0)
- y2:I(0) x:I(1)