My objectives are as follows:

$1.$Develop an investor sentiment index and create an idiosyncratic volatility series.

$2.$Determine the relationship between investor sentiment and idiosyncratic volatility.

$3.$Determine the relationship between investor sentiment and stock returns.

$4.$Determine the relationship between idiosyncratic volatility and stock returns.

$5.$Determine whether sentiment explains the stock$-$return$-$idiosyncratic volatility relationship.

I am thinking of using panel NARDL model to achieve my objectives. Can you assist me with full steps and guidance including preliminary tests supported by literature. If possible we can use Eviews. Or if not then stata or any software you suggest.