Optimal AIC-based max lag ADF test

[pka]

Hello,

Is there a command to retrieve the optimal max lag order based on a given information criterion when running the ADF test?

I need to carry out the ADF test on a large number of series. Next, for each series, I need to record the optimal lag order automatically suggested by say the AIC.

I tried to loop over the relevant cell content of the ADF table output but I am having a difficulty retrieving the lag order because the cell contains both strings and the need number of lag.

Thanks for your help.

Regards,

PK

[EViews Gareth]

There's an undocumented option (that we really need to document...) to save all the useful stuff from the test.

Code: Select all

myseries.uroot(save=myvector)


will save the useful statistics from the unit root test into the vector myvector. The last element contains the number of selected lags.

[pka]

Many thanks indeed Dear Gareth!

[pka]

Many thanks indeed Dear Gareth!

Hello Gareth,

I see the last element of the vector refers to the maximum lag length used.

Is it possible to retrieve the retained lag order for the test?

Thanks,

PK

[EViews Gareth]

I think that's the 2nd element?

[pka]

I think that's the 2nd element?

Yes indeed. It is the one.
Many thanks.