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Re: st: Get the lags in Dickey Fuller Unit Root
From
Muhammad Anees <[email protected]>
To
[email protected]
Subject
Re: st: Get the lags in Dickey Fuller Unit Root
Date
Fri, 4 May 2012 10:26:43 +0500
Yes, on trial and error basis, use number of lags and calculate AIC,
BIC and HQIC.
Select on the three criteria the lage length that is optimal.
Hope this helps.
Anees
On Fri, May 4, 2012 at 9:14 AM, Ayman Farahat <[email protected]> wrote:
> Hello;
> Is there a way in Stata to select/decide the optimal number of lags to include in an augmented Dickey Fuller test?
> Thanks
> Ayman
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--
Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com
*
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* http://www.ats.ucla.edu/stat/stata/