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re:Re: st: Optimal lag length with ADF

From   Christopher Baum <>
To   "" <>
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 Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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