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Information criterion for automatic lag length selection

Posted: Tue Aug 20, 2019 9:17 am
by pka
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

Re: Infotmation criterion for automatic lag length selection

Posted: Tue Aug 20, 2019 9:29 am
by EViews Gareth

Re: Infotmation criterion for automatic lag length selection

Posted: Tue Aug 20, 2019 9:39 am
by pka
Many thanks indeed Gareth. This works.

The command & programming pdf manual accessible from EViews 10's help menu still lists the option "infosel=arg". So maybe, that should be updated.

Re: Information criterion for automatic lag length selection

Posted: Tue Aug 20, 2019 9:55 am
by EViews Gareth
The Command and Programming reference doesn't have any listing for the series.uroot proc.

It is listed in the Object Reference.