EViews.com

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?

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.

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?