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st: Procedure for properly estimating an AR(p)


From   p_giannuzzo <p.giannuzzo@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Procedure for properly estimating an AR(p)
Date   Fri, 3 May 2013 02:58:56 -0700 (PDT)

Dear stata users,
I'm trying to estimate an autoregressive process AR(p).
Following the literature: 
-I checked if the series is stationary or not running the augmented
Dickey-Fuller test (as I expected, the series results stationary);
-I computed the optimal number of lag using DFgls test.
In your opinion, is this procedure correct?
Do I have to use other tests for unit-roots (Dickey-Fuller test, KPSS test,
.... or is the augmented Dickey-Fuller test fine to this end?
Do I have to use other methods for computing the optimal number of lag, as,
for instance, the command /varsoc/, or is the /dfgls/ command ok?
Thanks for answering and sharing my problem! 




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