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st: KPSS optimal lag length
From
Barbara Engels <[email protected]>
To
[email protected]
Subject
st: KPSS optimal lag length
Date
Tue, 28 Jun 2011 17:04:13 +0200
Dear Statalist,
as I didn't find a satisfying answer in the archive, I post my question here:
How do I know which lag to look at at the kpss test results? For example with this one ...
KPSS test for lnbrd
Maxlag = 8 chosen by Schwert criterion
Autocovariances weighted by Bartlett kernel
Critical values for H0: lnbrd is trend stationary
10%: 0.119 5% : 0.146 2.5%: 0.176 1% : 0.216
Lag order Test statistic
0 .318
1 .178
2 .135
3 .118
4 .111
5 .109
6 .11
7 .113
8 .118
_______
varsoc lnbrd yiels lags=3.
Thanks for your help!
Barbara
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