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st: Appropriate lags for Augmented Dickey-Fuller Test


From   Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk>
To   <statalist@hsphsun2.harvard.edu>
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
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