Information criterion for automatic lag length selection

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pka
Posts: 14
Joined: Wed Apr 25, 2018 1:54 pm

Information criterion for automatic lag length selection

Postby pka » Tue Aug 20, 2019 9:17 am

Hello,

I would like to run the ADF test using the AIC for automatic lag selection.

For this purpose, I use the following command:

myseries.uroot(infosel=aic)

However, I get the error message:

"infosel=aic is an unrecognized option for UROOT..."

Is there anything I am missing?

Thanks.

Regards,

PK
Last edited by pka on Tue Aug 20, 2019 9:42 am, edited 1 time in total.

EViews Gareth
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Re: Infotmation criterion for automatic lag length selection

Postby EViews Gareth » Tue Aug 20, 2019 9:29 am

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pka
Posts: 14
Joined: Wed Apr 25, 2018 1:54 pm

Re: Infotmation criterion for automatic lag length selection

Postby pka » Tue Aug 20, 2019 9:39 am

EViews Gareth wrote:http://www.eviews.com/help/helpintro.html#page/content%2Fseriescmd-uroot.html%23ww204858

Many thanks indeed Gareth. This works.

The command & programming pdf manual accessible from EViews 10's help menu still lists the option "infosel=arg". So maybe, that should be updated.

EViews Gareth
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Re: Information criterion for automatic lag length selection

Postby EViews Gareth » Tue Aug 20, 2019 9:55 am

The Command and Programming reference doesn't have any listing for the series.uroot proc.

It is listed in the Object Reference.
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