In the ADF test automatically based on AIC, the lag length gave is 0. I use the AR model, so I think the lag length should be more than or equal to 1. So why this happens?
Thx
why lag length=0
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Re: why lag length=0
This could be because there's no need to account for autocorrelation, but try using another information criteria (as SIC). If the ADF test is VERY important in your analysis, then don't use criteria, do the ADF regressions yourself (as a common regression) and use the lag lenght necesary to account for autocorrelation in the residulas of the regression. This is a way of proving empirically the accuracy of the information criteria.
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