Hello, first of all, thanks for the reply.
Here is the output. From this can I infer that the lags i should use is 14 (if I use the MAIC)and thus conduct the ADF test with 14 lags as I have done below?
Is this the correct procedure.
Kinds Regards.
Ihtesham
. dfgls lCPI
DF-GLS for lCPI Number of obs = 284
Maxlag = 15 chosen by Schwert criterion
DF-GLS tau 1% Critical 5% Critical 10% Critical
[lags] Test Statistic Value Value Value
------------------------------------------------------------------------------
15 -0.614 -3.480 -2.815 -2.535
14 -0.659 -3.480 -2.823 -2.542
13 -0.787 -3.480 -2.830 -2.549
12 -1.235 -3.480 -2.838 -2.555
11 -0.351 -3.480 -2.845 -2.562
10 -0.285 -3.480 -2.851 -2.568
9 -0.223 -3.480 -2.858 -2.574
8 -0.327 -3.480 -2.865 -2.580
7 -0.381 -3.480 -2.871 -2.586
6 -0.457 -3.480 -2.877 -2.591
5 -0.254 -3.480 -2.883 -2.596
4 -0.164 -3.480 -2.888 -2.601
3 -0.084 -3.480 -2.894 -2.606
2 -0.233 -3.480 -2.899 -2.611
1 -0.206 -3.480 -2.903 -2.615
Opt Lag (Ng-Perron seq t) = 13 with RMSE .0030169
Min SC = -11.32856 at lag 13 with RMSE .0030169
Min MAIC = -11.51094 at lag 14 with RMSE .003008
. dfuller lCPI, lags(14)
Augmented Dickey-Fuller test for unit root Number of obs = 285
---------- Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
------------------------------------------------------------------------------
Z(t) -1.980 -3.457 -2.879 -2.570
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.2955
----------------------------------------
> Date: Thu, 27 Aug 2009 12:59:34 +0100
> Subject: Re: st: Appropriate lags for Augmented Dickey-Fuller Test
> From: [email protected]
> To: [email protected]
>
> <>
> -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 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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