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| From | Christopher Baum <kit.baum@bc.edu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | Re: Re: st: Get the lags in Dickey Fuller Unit Root |
| Date | Fri, 4 May 2012 06:58:03 -0400 |
<>
On May 4, 2012, at 2:33 AM, Ayman wrote:
> Is there a way in Stata to select/decide the optimal number of lags to include in an augmented Dickey Fuller test?
Yes. No need for trial and error. Use the -dfgls- command, which gives three criteria for lag selection, and has greater power than an ADF test in any case.
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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