[Gretl-users] ARDL lag lenght selection using all possible combinations

Dear all, I want to find the optimal lag length of an ARDL model allowing for variable-specific lag lengths. For instance, I've got K variables and want to select the optimal lag structure by searching across the (pmax-1)^K ARDL models, spanned by p=0,1,..., pmax and p_k=0,1,..., pmax, k=1,.., K using some criteria (e.g. AIC). I am looking for a clever trick to estimate all of these possible models but only have a complicated "loop-in-loop-in-loop" structure in mind. Does anybody have a clever idea how to realize this task efficiently? Btw, it seems that the latest Eviews 9 version has this feature included: http://www.eviews.com/EViews9/ev9ecest_n.html#ardl Best, Artur