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- Fri Aug 03, 2012 7:30 am
- Forum: Econometric Discussions
- Topic: Lag Selection for ADF, VAR,VECM for quarterly data
- Replies: 0
- Views: 2616
Lag Selection for ADF, VAR,VECM for quarterly data
Hello I'm testing quarterly dataset for stationarity, however, since the ADF results are very sensitive to lags, I'm getting different results each time I test down from 12, 10, or 4 lags. The problem is also present for VECM modelling. The question is what is the suitable level to test down from fo...