Lag length in ADF

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meloyn
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Joined: Wed Aug 24, 2016 5:21 am

Lag length in ADF

Postby meloyn » Wed Aug 24, 2016 5:23 am

Hi guys. I am making research and I am faced with some problem. I have VAR model and try to conduct ADF test. I use Schwarz criteria for defining lag lenght but in Eviews I must put max lag lengh. If i don't touch automatical defined lag length in first differences i don't have signification t-statistic. Can I change max lengh for another ? e.g. defined by Schwert rule? If I use automatically defined lag length for others series and Schwert rule only for one series will it has bad influence?

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