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- Sun Feb 20, 2011 1:47 am
- Forum: Econometric Discussions
- Topic: Lag length for unit root test
- Replies: 0
- Views: 2033
Lag length for unit root test
I would like to test the unit root using ADF test in several independent variables. But if I use AIC as the lag criterion, some independent variables are stationary in different level (some are I(0), some are I(1) or I(2)). So I tried to use various lag criterion. But I'm doubt if I can use differen...