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Re: st: Get the lags in Dickey Fuller Unit Root


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Get the lags in Dickey Fuller Unit Root
Date   Fri, 4 May 2012 10:26:43 +0500

Yes, on trial and error basis, use number of lags and calculate AIC,
BIC and HQIC.

Select on the three criteria the lage length that is optimal.

Hope this helps.
Anees

On Fri, May 4, 2012 at 9:14 AM, Ayman Farahat <ayman.farahat@yahoo.com> wrote:
> Hello;
> Is there a way in Stata to select/decide the optimal number of lags to include in an augmented Dickey Fuller test?
> Thanks
> Ayman
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-- 

Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com

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