Maximum lag length for ADF test

[terran190]

Hi,

In eviews when we estimate the ADF test, there's an option to determine the maximum lags when use automatic selection, can anyone please show me how to do that? Any formula?

[theologos]

Schwert’s (1989) principle, that is kmax=12(n/100)^(0.25)

where n is the sample size

Schwert, G.W. (1989). Tests for Unit-Roots: A Monte Carlo investigation. Journal of Business and Economic Statistics 7, 147-159.

[Swansea]

Am I right in thinking that there is an additional rule with T/3 replacing 12 in the Schwert rule- with the minimum of the two used?? If so, what is the reference for this?