I have seen the AIC used to determine the lag length for each individual
time series and then the maximum lag used in the panel data test.
See, for example, Österholm, P. (2004), "Killing Four Unit Root Birds in
the US Economy with Three Panel Unit Root Test Stones", Applied Economics
Letters 11 (4), 213-216
Hope this helps,
Scott
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of abhijit sarkar
> Sent: Saturday, January 22, 2005 4:10 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: number of lags in panel unit root tests
>
> Hi!
>
> I have an unbalanced panel and I am using xtfisher
> test to check unit root problem in the panel.
>
> What I want to knowis that, is there any criterion to
> select the number of lag for xtfisher test?
>
> Thanx in advance.
>
> OV
>
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