One possibility would be to use -varsoc- for each cross-section to
find the optimal lag length.
The example at:
http://www.stata.com/statalist/archive/2005-02/msg00264.html
uses the Hannan-Quinn criteria (HQIC).
Scott
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of roberto zanola
> Sent: Tuesday, February 21, 2006 4:11 AM
> To: [email protected]
> Subject: st: LAG ORDER and panel stationarity tests
>
> Dear all,
> is there a way to determine the lag order to be used
> with ipshin, levinlin, or any of the panel
> stationarity tests?
>
> Thank you for the answer.
> r
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
