Hi everyone,
Please this question is directed to Stata users and those familiar with the pooled mean group estimator (PMG) that is within the ARDL framework.
I use Stata 13 and I received an error message while attempting to obtain optimal lag orders for my PMG model. I have 10 countries and 3 variables from 1980 to 2015. I used this command:
forval i = 1/10 {
ardl dcb dr gdp if (c_id==`i'), aic ec
matrix list e(lags)
di
}
This tells Stata to automatically generate AIC-optimal lag orders which it was able to do BUT only for the first 9 countries after which I got this error message:
"Maximum number of iterations exceeded. r(498)"
I also tried increasing the number of iterations by using this code:
forval i = 1/10 {
ardl dcb dr gdp if (c_id==`i'), aic ec maxcombs (2500)
matrix list e(lags)
di
}
I received the same output as before and same error message, and I still do not don’t have the optimal lag order for the 10th country.
Please what can I do, or can anyone advise on another way of obtaining optimal lag orders for each variable and per country?
The error message seems to be related to the iterate() option of the nlcom command which is used by ardl to compute the error-correction coefficients and standard errors. You might have to reduce the number of lags, for example with the maxlags() option of ardl and choose a lag order by looking at the model fit.
