st: 0 lag command for Pooled Mean Group (PMG) Estimator

[Bee Wah TAN <bewahtan@gmail.com>]

Dear All Statalist User,

I am running the Pooled Mean Group (PMG) estimator. The best lag
length - AIC, BIC for my  ARDL model is (1,2,1,1). Thus, the PMG
command is written as this:-

xtpmg d(1).lrgdpc d(1/2).lglob d(1).lpri d(1).lsmc, lr(l.lrgdpc lglob
lpri lsmc) ec(ec) replace pmg

After determine the ARDL best lag is (1,2,1,1) and run out the PMG
results, I continue with diagnostic checking, and the command for
serial correlation diagnostic check is as below:-

First, I run the regression base on the best lag:-
reg dlrgdpc lglob lpri lsmc dlrgdpc(-1) dlglob dlglob(-1) d.dlglob(-2)
dlpri dlpri(-1) dlsmc dlsmc(-1)

Then, I test the serial correlation test by putting the xtserial command:-
xtserial dlrgdpc lglob lpri lsmc dlrgdpc(-1) dlglob dlglob(-1)
d.dlglob(-2) dlpri dlpri(-1) dlsmc dlsmc(-1)

My question is:-
1. What is the command for 0 lag? For lag 1, we put d(1).lglob for
example. If lag 0, is that we need to write d(0).lglob for 0 lag??
2. I am running the xtserial diagnostic checking but I am not sure
whether it is the correct way/command? Can someone advice me further?

Thanks

-- 
*Best Regards,
*Bee Wah TAN
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