st: Using ADF test with AIC or MAIC

[xtian <xtian@ln.edu.hk>]

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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