<>
-dfgls- reports three different criteria for lag selection:
1) Ng-Perron
2) Schwarz
3) Modified AIC
and reports tests upto a max. lag determined by the Schwert criteria.
T
On Thu, Aug 27, 2009 at 12:39 PM, Ihtesham
Afzal<[email protected]> wrote:
> Hello.
> Just a quick question.
> When undergoing the Augmented Dickey Fuller Test, how do I decide on how many lags to include for each series?
> Do I estimate the AR(p) model with different p-lag values and then find the one with the lowest AIC/BIC value?
>
> Kind Regards.
>
> Ihtesham
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