You might want to take a look at -dfgls-
Scott
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of xtian
> Sent: Wednesday, January 24, 2007 10:36 AM
> To: [email protected]
> Subject: st: Using ADF test with AIC or MAIC
>
> Dear ALL:
>
> I need to do univariate ADF test with individual time series data. I know
> I
> can set the lag length by hand,such as: dfuller CPI, regress trend
> lags(1).
> The problem is that how can I use AIC or MAIC to choose the optimal lags
> automatically.
>
> Thanks a lot!
>
> Tian Xi
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