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st: KPSS optimal lag length


From   Barbara Engels <engels.ba@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: KPSS optimal lag length
Date   Tue, 28 Jun 2011 17:04:13 +0200

Dear Statalist, 

as I didn't find a satisfying answer in the archive, I post my question here:

How do I know which lag to look at at the kpss test results? For example with this one ...

KPSS test for lnbrd
 
Maxlag = 8 chosen by Schwert criterion
Autocovariances weighted by Bartlett kernel
 
Critical values for H0: lnbrd is trend stationary
 
10%: 0.119  5% : 0.146  2.5%: 0.176  1% : 0.216
 
Lag order    Test statistic
    0           .318
    1           .178
    2           .135
    3           .118
    4           .111
    5           .109
    6            .11
    7           .113
    8           .118

_______
varsoc lnbrd yiels lags=3.

Thanks for your help!
Barbara
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