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


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