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Re: st: Optimal lag length with ADF


From   Barbara Engels <engels.ba@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Optimal lag length with ADF
Date   Fri, 1 Jul 2011 16:24:24 +0200

So there's no way to use ADF and an additional "optimal lag criterion"? What about KPSS? There I seem to have the same problem...

Thanks for your advice!
Barbara
El 01.07.2011, a las 15:50, Christopher Baum escribió:

> <>
> 
> Barbara wrote
> 
> 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.
> 
> 
> Forget about dfuller and pperron. Use the more appropriate dfgls. It gives you several criteria by which you may choose the optimal lag.
> 
> Kit
> 
> Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
>                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
>   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html
> 
> 
> 
> 
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