Automatic selection for DF GLS test - 2

[kiber_master]

Hello again!

Could you explaine, what does mean "t-statistic" criteria? for what should I set p-value for this criterion? I can't find info in Userguide.

[EViews Glenn]

Test successively higher lag terms for statistical significance using a t-test with the specified p-value. Stop when there is a lag that is insignificant according to the test. It's a relatively new option that escaped documentation. It's a pretty standard approach that is discussed in all of the papers.

[kiber_master]

Sorry, but I didn't catch =(
Could you give a reference at least on one of the papers you mentioned?

And does this autoselection method correct sample using max lag, as other methods do?

[EViews Glenn]

Ng and Perron “Unit Root Tests in ARMA Models with
Data-Dependent Methods for the Selection of the Truncation Lag,” JASA, 1995.