Dear all!
I hope you are well.
I am trying to calculate the AIC and BIC of ARDL(p,q) models for different values of p and q.
In particular, If p_max=q_max=4 I want to calculate the AIC and BIC for the following set of models
ARDL(0,0) ARDL(0,1), ARDL(0,2), ARDL(0,3), ARDL(0,4)
ARDL(1,0), ARDL(1,1), ARDL(1,2), ARDL(1,3), ARDL(1,4)
ARDL(2,0), ARDL(2,1), ARDL(2,2), ARDL(2,3), ARDL(2,4)
ARDL(3,0), ARDL(3,1), ARDL(3,2), ARDL(3,3), ARDL(3,4)
ARDL(4,0), ARDL(4,1), ARDL(4,2), ARDL(4,3), ARDL(4,4)
So I am using the Stata command
ardl y x, aic maxlags(4) matcrit(lagcombs)
matrix list lagcombs
but the problem is that this command considers this set of models
ARDL(1,0), ARDL(1,1), ARDL(1,2), ARDL(1,3), ARDL(1,4)
ARDL(2,0), ARDL(2,1), ARDL(2,2), ARDL(2,3), ARDL(2,4)
ARDL(3,0), ARDL(3,1), ARDL(3,2), ARDL(3,3), ARDL(3,4)
ARDL(4,0), ARDL(4,1), ARDL(4,2), ARDL(4,3), ARDL(4,4)
Is there any way to calculate the AIC and BIC for
ARDL(0,0) ARDL(0,1), ARDL(0,2), ARDL(0,3), ARDL(0,4)
Also, is there any way to obtain in a table BOTH the AIC and BIC because the above command does not allow to have something like
ardl y x, aic bic maxlags(4) matcrit(lagcombs)
Thank you all!
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