I have seen the AIC used to determine the lag length for each individual
time series and then the maximum lag used in the panel data test.
See, for example, �sterholm, P. (2004), "Killing Four Unit Root Birds in
the US Economy with Three Panel Unit Root Test Stones", Applied Economics
Letters 11 (4), 213-216
Hope this helps,
Scott
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of abhijit sarkar
> Sent: Saturday, January 22, 2005 4:10 AM
> To: [email protected]
> Subject: st: number of lags in panel unit root tests
>
> Hi!
>
> I have an unbalanced panel and I am using xtfisher
> test to check unit root problem in the panel.
>
> What I want to knowis that, is there any criterion to
> select the number of lag for xtfisher test?
>
> Thanx in advance.
>
> OV
>
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