The best option for you is to get a practical book or guide of Stata first. Here you have a very brief example. 

http://www.montana.edu/cstoddard/562/panelcommands.pdf

http://cameron.econ.ucdavis.edu/stata/trpanel.pdf

http://cameron.econ.ucdavis.edu/stata/trpanel.pdf

Here I share two papers used ARDL that might be useful. 

https://www.brunel.ac.uk/__data/assets/pdf_file/0005/317714/1321.pdf

http://business.curtin.edu.au/wp-content/uploads/sites/5/2016/07/panel-data-conference-a-reassessment-of-the-relationhip-between-income-inequality-and-economic-growth-new-empirical-evidence-from-china.pdf

http://www.stata.com/meeting/chicago16/slides/chicago16_kripfganz.pdf

EViews 9 will do it for you!

To estimate a Panel ARDL/PMG model in EViews, open the equation dialog by selecting Quick/Estimate Equation…, or by selecting Object/New Object…/Equation and selecting PMG/ARDL from the Method dropdown menu. Please read EViews 9 Users Guide II.

Thanks Shimelis for the kind gesture....

First of all, you need to install the following package:

ssc install xtpmg

Then, you can try this command:

xtpmg d.dependent_var d.independent_var.1 d.independent_var.2 , lr(l.dependent_var independent_var.1 independent_var.2) ec(ECT)

There are a couple of Youtube videos on it.

Thanks Eric Fosu Oteng-Abayie for your input...appreciated!

hi dear all. recently I am using Stata 16. but I failed to run after I run my state code and it showed me that the code is unrecognized. but before executing the state code I tried to connect the path to XY_book_ado(v---year). i also checked for existences of ado....programmed file... it exists. but I cannot figure out where is my problem is. get stacked. any help soon apprecaited

thanks

*Panel ARDL

*PMG

xtpmg d.output d.fcapinf d.bankcr d.pfolio d.equity, lr(l.output fcapinf bankcr pfolio equity) ec(ECT) replace pmg

xtpmg d.output d.fcapinf d.bankcr d.pfolio d.equity, lr(l.output fcapinf bankcr pfolio equity) ec(ECT) replace full pmg

*MG

xtpmg d.output d.fcapinf d.bankcr d.pfolio d.equity, lr(l.output fcapinf bankcr pfolio equity) ec(ECT) replace mg

xtpmg d.output d.fcapinf d.bankcr d.pfolio d.equity, lr(l.output fcapinf bankcr pfolio equity) ec(ECT) replace full mg

*Hausman Test to Know Which to Choose (Significant prob. will mean choosing MG and insignificant prob. will mean choosing PMG)

hausman mg pmg, sigmamore

Thanks a lot for your contribution, Moses Vincent.

Deeply appreciated!

I think E-Views is perfect to estimate a Panel ARDL, in E-Views please select, open the equation dialog by selecting Quick/Estimate by selecting Object/Equation and select ARDL from the Method dropdown menu.

For ARDL/Unit Root or estimating Co-integration E-Views is normally preferable.

I agree with Vicent Mosses

xtpmg d.y d.x1 d.x2 d.x3 d.x4 lr(l.y x1 x2 x3 x4 ) ec(ECT) replace pmg

where y= dependent variable and x1.......to 4 is explanatory variables

The Cross-sectional ARDL (CS-ARDL) estimators by Chudik et. al (2016) are also very helpful. A detailed presentation about CS-ARDL using STATA can be found in Ditzen (2021) Article Estimating long-run effects and the exponent of cross-sectio...