PMG Panel ARDL with different number of lags

This video shows how to specify command in stata taking into account different number of lags for dependent and independent variables (for example, ARDL (2,3,3,3). Default XTPMG command only applicable for ARDL (1,1,1) in Stata. Enjoy my first video.

[QINQINGUI]

Thank you for your helpful video. This is the only video on YouTube that explains the lag rules of xtpmg, it really helps me a lot. thank you so much

[SagangaKapaya]

EXACTLY, This is what i wanted, thanks a lot.

[bacillusrex]

This is the exact video I required. Thank you so much.

[EnemonaAmeji]

Thanks for the video it is really insightful, but why was the dependent variable lagged in the long run, i thought in the long run all variables are in levels

[EnemonaAmeji]

thanks for the video, why is the dependent variable lagged in the long run, i thought in the long run all variables are in levels

[shaifaadam]

Thank you for the helpful video! I am currently using a panel dataset with 74 countries, from 1996 - 2020. I do not know how to do the optimal lag selection for each variable. If possible, could you please tell me how I can identify the optimal lags please.

[okbarimi]

To calculate multiple lags for a one variable can use this command
foreach i of varlist lux* {
forvalues j=1/6 {
gen lag`j'_`i'=l`j'.`i'
}
}

[RememberRund]

why u generating lags by yourself (8:40 min).

[dhanu]

Please tell us how to determine optimal lag length

[bbouchra]

could we use direclty the comand in the help section without creating new variables ? the comand is : xtpmg d.c d(1/2).y d.pi, ec(ec) lr(l.c y pi) pmg replace,
for an ardl (1, 2, 1, 1)

[meenakshigautam]

hi sir, Thanks so much for this video can you help me with it as I am facing some issues while running the pmg code it is giving many iterations and data concave. what should I do please help me

[aniksaha]

In pmg, i get too many iteration upto 100, then "hessian has become unstable or asymmetric" appears

[mohamru]

what if all iterations are not concave???

[nikolaizaicev]

Dude confused not only me but himself, according to jumping fort and backwards with what is lag2 and lag1, etc. The ARDL is 23333, but there is only 1 lag generatetd? Why the heck?