Information criterion for automatic lag length selection
Posted: Tue Aug 20, 2019 9:17 am
Hello,
I would like to run the ADF test using the AIC for automatic lag selection.
For this purpose, I use the following command:
myseries.uroot(infosel=aic)
However, I get the error message:
"infosel=aic is an unrecognized option for UROOT..."
Is there anything I am missing?
Thanks.
Regards,
PK
I would like to run the ADF test using the AIC for automatic lag selection.
For this purpose, I use the following command:
myseries.uroot(infosel=aic)
However, I get the error message:
"infosel=aic is an unrecognized option for UROOT..."
Is there anything I am missing?
Thanks.
Regards,
PK