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re:Re: st: Optimal lag length with ADF
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
Subject
re:Re: st: Optimal lag length with ADF
Date
Fri, 1 Jul 2011 10:32:44 -0400
<>
Barbara wrote
So there's no way to use ADF and an additional "optimal lag criterion"? What about KPSS? There I seem to have the same problem...
Well, DF-GLS is an augmented Dickey-Fuller routine, with considerably greater power than the original ADF. So why would you want to use first-generation tests when there are more powerful second-generation tests available?
With KPSS there are no AIC/BIC calculations. I'm not sure if they would be valid in that 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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