Hello. I have a question/remark about the code of hadrilm.do. In particular, the line which defines the maximum truncation lag:
* set maxlag via Schwert criterion (Ng/Perron JASA 1995)
local maxlag = int(schwert*(`N'/100)^0.25)
Why is it a function of N, the number of individuals. Shouldnt it be instead a function of the sample size T?!
* set maxlag via Schwert criterion (Ng/Perron JASA 1995)
local maxlag = int(schwert*(`T'/100)^0.25)
Could someone confirm the right command.
Thanks.
J
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