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st: Re: KPSS and ADF tests
From
Kit Baum <[email protected]>
To
[email protected]
Subject
st: Re: KPSS and ADF tests
Date
Wed, 23 Mar 2011 07:47:47 -0400
<>
On Mar 23, 2011, at 2:33 AM, Maxwrote:
> Also I have another question regardning optimal choice of lag in Augmented DickyFuller test. Is it possible to ask for automatic optima choice of lag number?
Nick Cox already pointed you to my -kpss- (which you could have found with findit). Most time series econometricians would recommend the use of a 'second-generation' test such as -dfgls- rather than the first-generation dfuller or pperron tests. -dfgls-, which I originally coauthored, does contain several criteria for optimal lag selection for the augmented part of the model. -help dfgls- for details.
Kit Baum
[email protected]
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