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st: Optimal lag length with ADF


From   Barbara Engels <engels.ba@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Optimal lag length with ADF
Date   Fri, 1 Jul 2011 14:58:07 +0200

Dear Statalist: 

I want to conduct ADF tests on certain variables and would like to choose the optimal lag length according to popular information criteria like aic and bic. How can I do this in Stata? I have been trying in vain so far, conducting dfuller with different lags and then putting fitstat, but it didn't work out since fitstat never changed, always relying on the first ADF I conducted.
Thanks for you help!
Barbara.
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