# RE: st: Appropriate lags for Augmented Dickey-Fuller Test

 From Ihtesham Afzal To Subject RE: st: Appropriate lags for Augmented Dickey-Fuller Test Date Thu, 27 Aug 2009 13:37:20 +0100

```Hello, first of all, thanks for the reply.
Here is the output. From this can I infer that the lags i should use is 14 (if I use the MAIC)and thus conduct the ADF test with 14 lags as I have done below?
Is this the correct procedure.
Kinds Regards.
Ihtesham

. dfgls lCPI

DF-GLS for lCPI                                          Number of obs =   284
Maxlag = 15 chosen by Schwert criterion

DF-GLS tau      1% Critical       5% Critical      10% Critical
[lags]     Test Statistic        Value             Value             Value
------------------------------------------------------------------------------
15           -0.614           -3.480            -2.815            -2.535
14           -0.659           -3.480            -2.823            -2.542
13           -0.787           -3.480            -2.830            -2.549
12           -1.235           -3.480            -2.838            -2.555
11           -0.351           -3.480            -2.845            -2.562
10           -0.285           -3.480            -2.851            -2.568
9            -0.223           -3.480            -2.858            -2.574
8            -0.327           -3.480            -2.865            -2.580
7            -0.381           -3.480            -2.871            -2.586
6            -0.457           -3.480            -2.877            -2.591
5            -0.254           -3.480            -2.883            -2.596
4            -0.164           -3.480            -2.888            -2.601
3            -0.084           -3.480            -2.894            -2.606
2            -0.233           -3.480            -2.899            -2.611
1            -0.206           -3.480            -2.903            -2.615

Opt Lag (Ng-Perron seq t) = 13 with RMSE  .0030169
Min SC   = -11.32856 at lag 13 with RMSE  .0030169
Min MAIC = -11.51094 at lag 14 with RMSE   .003008

. dfuller lCPI, lags(14)
Augmented Dickey-Fuller test for unit root         Number of obs   =       285
---------- Interpolated Dickey-Fuller ---------
Test         1% Critical       5% Critical      10% Critical
Statistic           Value             Value             Value
------------------------------------------------------------------------------
Z(t)             -1.980            -3.457            -2.879            -2.570
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.2955

----------------------------------------
> Date: Thu, 27 Aug 2009 12:59:34 +0100
> Subject: Re: st: Appropriate lags for Augmented Dickey-Fuller Test
> From: tirthankar.chakravarty@gmail.com
> To: statalist@hsphsun2.harvard.edu
>
> <>
> -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 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
>> _________________________________________________________________
>>
>> 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/
>>
>
>
>
> --
> To every ω-consistent recursive class κ of formulae there correspond
> recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
> belongs to Flg(κ) (where v is the free variable of r).
>
> *
> * 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/
_________________________________________________________________
Celebrate a decade of Messenger with free winks, emoticons, display pics, and more.
http://clk.atdmt.com/UKM/go/157562755/direct/01/
*
*   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/
```