Lag Length Selection in the ADF Unit Root Test
Posted: Mon Jul 06, 2015 2:55 am
Hello,
I have a rather general question regarding the lag length when doing the ADF Unit Root Test.
I estimate a simple VAR model with 5 variables. To test for the appropriate Lag Length for the VAR model, I use the build in command "Lag Length Criteria". All tests suggest the optimal lag length of 2 lags. Does this mean that I also have to do the ADF Unit Root Test with 2 lags. Or is it recommended to let EViews choose the optimal lag length for each variable separately?
Thank you for your answers
Best
Benjwin
I have a rather general question regarding the lag length when doing the ADF Unit Root Test.
I estimate a simple VAR model with 5 variables. To test for the appropriate Lag Length for the VAR model, I use the build in command "Lag Length Criteria". All tests suggest the optimal lag length of 2 lags. Does this mean that I also have to do the ADF Unit Root Test with 2 lags. Or is it recommended to let EViews choose the optimal lag length for each variable separately?
Thank you for your answers
Best
Benjwin