Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


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

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.
*
*   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 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index