Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: KPSS optimal lag length


From   Barbara Engels <[email protected]>
To   [email protected]
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
*
*   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/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index