How do I train my Pygmy Goat?

I have a pygmy/Nigerian dwarf goat, he is five months old, I was wondering if there is anyway that I can get him to stop eating the house, (wooden shingles) and cardboard boxes. He is good and knows to stay in the yard but is there anyway to train him and get him to act 'better'? He is de-horned (I didnt do it, the farm from where got him from did it)