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  • NARDL with moderator variable and break point

    Hello everyone,
    . nardl y x, p(4) q(5) deterministic(c1 c2 c3)

    I have several questions regarding the NARDL STATA command:
    1. can I use the varsoc command to determine the maximum lag in NARDL?
    2. If I want to add moderator variable, where should I put it, in independent variable or control/deterministic variable?
    3. Let say Y is stationary at I(0) and X is stationary at I(1), STATA command will be: nardl y x, p(4) q(5) or nardl y D.x, p(4) q(5), which one is correct?
    4. if the stationarity test with break show that X in I(0) break 2018 is not significant and X in I(1) break 2020 is significant, which year I should choose to be used as dummy and interaction: year 2018 and multiply with X or year 2020 and multiply with D.X, which one is correct?
    Thanks for your help.
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