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Re: Re: st: Get the lags in Dickey Fuller Unit Root
From
Muhammad Anees <[email protected]>
To
[email protected]
Subject
Re: Re: st: Get the lags in Dickey Fuller Unit Root
Date
Fri, 4 May 2012 16:51:52 +0500
I agree with Baum in All.
Anees
On Fri, May 4, 2012 at 3:58 PM, Christopher Baum <[email protected]> wrote:
> <>
> On May 4, 2012, at 2:33 AM, Ayman wrote:
>
>> Is there a way in Stata to select/decide the optimal number of lags to include in an augmented Dickey Fuller test?
>
> Yes. No need for trial and error. Use the -dfgls- command, which gives three criteria for lag selection, and has greater power than an ADF test in any 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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--
Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com
*
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