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Re: st: Appropriate lags for Augmented Dickey-Fuller Test


From   Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Appropriate lags for Augmented Dickey-Fuller Test
Date   Thu, 27 Aug 2009 12:59:34 +0100

<>
-dfgls- reports three different criteria for lag selection:

1) Ng-Perron
2) Schwarz
3) Modified AIC

and reports tests upto a max. lag determined by the Schwert criteria.

T

On Thu, Aug 27, 2009 at 12:39 PM, Ihtesham
Afzal<ihtesham_afzal@hotmail.co.uk> wrote:
> 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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