Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: st: Get the lags in Dickey Fuller Unit Root
Date   Fri, 4 May 2012 16:51:52 +0500

I agree with Baum in All.

Anees

On Fri, May 4, 2012 at 3:58 PM, Christopher Baum <kit.baum@bc.edu> wrote:
> <>
> 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
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/



-- 

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

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index