I am doing a project where I have to regress the interest rate on the GDP using an ARDL model. To determine the best number of lags according to the Akaike Information Criteria I have used the following function:
ARDL <- auto_ardl(estimation_GDP ~ estimation_ir, data= merged_data, max_order =c(12,12)) print(ARDL$top_orders) # The model with the lowest AIC is ARDL(1,0)
The problem that I have is that the best model according to this function is an ARDL(1,0), and the p-value of the coefficients is extremely high. I have also tried to estimate the same model with EViews, and I got that my best model was an ARDL(1,6), so I am not sure if I have done something wrong.
I would highly appreciate your help. Thanks!