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st: lag length selection in unbalanced panel

From   spyridoula dimou <>
To   stata users <>
Subject   st: lag length selection in unbalanced panel
Date   Tue, 27 Sep 2011 20:04:18 +0100 (BST)

Hi all!
I am using an unbalanced panel, for which I want to perform the Fisher stationarity test. Therefore, I have to choose the appropriate number of lags to include. As the varsoc command does not work in panel data, I have tried to derive the optimal number of lags using the HQIC as proposed by 
When coming to perform my test, I copy the procedure proposed, changing the variable names and write 
xtfisher y, lag(`opt_lag'). 
Then stata displays:
option lag() incorrectly specified
What is the mistake I make? When running the procedure using the 
everything works fine...

I would be grateful if you could respond!

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