Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Appropriate lags for Augmented Dickey-Fuller Test


From   Ihtesham Afzal <[email protected]>
To   <[email protected]>
Subject   st: Appropriate lags for Augmented Dickey-Fuller Test
Date   Thu, 27 Aug 2009 12:39:46 +0100

Hello.
Just a quick question.
When undergoing the Augmented Dickey Fuller Test, how do I decide on how many lags to include for each series?
Do I estimate the AR(p) model with different p-lag values and then find the one with the lowest AIC/BIC value?
 
Kind Regards.
 
Ihtesham
_________________________________________________________________

Upgrade to Internet Explorer 8 Optimised for MSN.  

http://extras.uk.msn.com/internet-explorer-8/?ocid=T010MSN07A0716U
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index