dear community,
i am having trouble specifying the optimal lags (2 3 1 2) chosen by AIC in my pmg model. My best guess is: xtpmg d(1/2).y d(1/3).x1 d.x2 d(1/2).x3, lr(l.y x1 x2 x3) ec(EC) replace pmg Can someone verify if this is right? Giving me the most trouble are the 2 lags of the independent y.
clarification is greatly appreciated!