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 for a quarterly data.
I'm using eviews 7.2.
Thanks
Abdullah
Lag Selection for ADF, VAR,VECM for quarterly data
Moderators: EViews Gareth, EViews Moderator
-
abdullahJO
- Posts: 1
- Joined: Fri Aug 03, 2012 7:25 am
Return to “Econometric Discussions”
Who is online
Users browsing this forum: No registered users and 2 guests
