Minimize AIC, BIC

[Nils]

Does anyone know how to minimize AIC or BIC when constructing an ARDL (Autoregressive Distributed Lag) model in Eviews?
I have seen similar questions posed in other posts in this forum. Unlike those posts I would like to try let's say 10 or 11 explanatory variables in the regression. Maximum lag length could be 8 quarters. I don't expect all variables to fit in the final model but it could be worth trying all of them.
Thankful for answers.

[Nils]

If there is anyone who has an answer to this question, I would be really thankful. I'm in urgent need!

[tcfoon]

Dear Nils,

Since you are urgently need the code for any purposes, I suggest you to use the following procedure to determine the ARDL model.

Assumed that you have 2 variables.

Step 1: Run an autoregressive process (AR) regression that is Y regress with the past value (t-j) of itself (Y). Then use the AIC or BIC to determine the best lag structure.

Step 2: Run a second regression with the Y and the selected lag length (fix lags for Y), then added the lagged X into the testing equation. By doing that you can determine the optimal lag order for your X with AIC and BIC.

The above approach is similar to the Hsiao's (1981) non-parametric causality test - Journal of Monetary Economics

Good luck and hope the above procedure helped you to solve your urgent problem.

Thank you,

Regards,
CF Tang

[Nils]

Thank you very much for your help!