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re:Re: st: Optimal lag length with ADF


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re:Re: st: Optimal lag length with ADF
Date   Fri, 1 Jul 2011 10:32:44 -0400

<>
Barbara wrote
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...


Well, DF-GLS is an augmented Dickey-Fuller routine, with considerably greater power than the original ADF. So why would you want to use first-generation tests when there are more powerful second-generation tests available?

With KPSS there are no AIC/BIC calculations. I'm not sure if they would be valid in that case.

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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