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ADF automatic lag selection.
Posted: Wed Mar 20, 2019 4:31 pm
by neto333
Hi, can someone tell me how does eviews calculate this optimal lag for example with Schwarz criterion. Im asking this because when i do the VAR Lag Order Selection Criterio it gives me a different number of lags. For example with the automatic lag selection SC it gives me 1 lags but with VAR Lag Order Selection Criteria SC it gives me 2 lags.
Re: ADF automatic lag selection.
Posted: Wed Mar 20, 2019 5:20 pm
by EViews Gareth
Its not clear what you're asking here.
Are you asking why a VAR's automatic lag selection is different from a single series' unit root test's automatic lag selection? If so, they're not comparable. The VAR has multiple series, the unit root only has one. The ADF test includes differences of the variable, the VAR does not. Etc...
Re: ADF automatic lag selection.
Posted: Wed Mar 20, 2019 5:30 pm
by neto333
Its not clear what you're asking here.
Are you asking why a VAR's automatic lag selection is different from a single series' unit root test's automatic lag selection? If so, they're not comparable. The VAR has multiple series, the unit root only has one. The ADF test includes differences of the variable, the VAR does not. Etc...
I see thank you. Also do you guys use automatic lag selection or do you use a different technique to select the optimal lag?