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st: Test for stationarity/non-stationarity and optimal lag structure


From   "Johns Waldow" <JohnsW@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Test for stationarity/non-stationarity and optimal lag structure
Date   Wed, 18 Apr 2012 22:46:30 +0200

Stata/MP 11.1 Windows

Hello everybody,


I'm a Stata beginner. I have an time series regression with multiple
predictors (8, including lags of the dependent variable). I need to test for
stationarity and the optimal lag structure. Naturally I start with testing
for stationarity. If I type -- dfgls inf - I receive optimal lag orders
according to Ng-Perron, SC and MAIC with regards to inf and the DF-GLS Test
Statistic. I'm wondering how Stata can give me the optimal lag order if
Stata doesn't know the dependent variable.

1. Shouldn't I tell Stata what my dependent variable is so that I can get
the optimal lag order with regards to my dependent variable using - dfgls
[varname] --? 
2. When I use -- dfgls inf - Stata gives me lag orders which are not even
stationary. Does that mean I can use the suggested lag order but I have to
detrend/differentiate the series once more? If so, than again how can Stata
give me the lag order without knowing about my dependent variable?

Thank you so much!

Best regards

Johns Waldow

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