I am using Stata to run my analysis and am running into the following problem when trying to minimize the Information Criteria: I am running a loop that estimates the same ARDL model with different lags and then generates the AIC/BIC values for each of these models.

Finding and Installing User-Written Stata Programs. There are a tremendous number of user-written programs for Stata available which, once installed, act just like official Stata commands. Some are conveniences, like outreg for formatting regression output. Estimating Non-Linear ARDL in STATA. Once you install the command, go it its help manual you will see one extra component in the command starting with deterministic() in this you can add your independent variables which you do not want to see non linear effect. I'd say to the OP, build an ARDL and follow Hendry's methodology, which is the soundest, in my opinion. $endgroup$ - Graeme Walsh Apr 20 '16 at 20:09 add a comment | Your Answer Data preparation stage: set more off * Download and open the dataset using Stata: LINK * To start recording the commands Nonlinear ARDL using Eviews TIME SERIES ECONOMETRICS WORKSHOP: "Asymmetric Co-integration, NARDL and Structural VAR" by Professor Mansor Ibrahim Sebastian Kripfganz. Lecturer (assistant professor) in Economics, The following programs can be installed by typing the respective command line in the Stata command window. > List of available Stata packages: ardl: Estimation of autoregressive distributed lag and equilibrium correction Note: This module should be installed from within Stata by typing "ssc install ardl". Windows users should not attempt to download these files with a web browser. as DATA ANALYSIS NOTES: LINKS AND GENERAL GUIDELINES . Oscar Torres-Reyna. DSS Data Consultant . Finding the question is often more important than finding the answer Data preparation stage: set more off * Download and open the dataset using Stata: LINK * To start recording the commands Nonlinear A