Stationarity Tests
Posted: Thu May 13, 2010 11:09 pm
Hi,
I have a question about testing for stationarity. I know that when you conduct the augmented dicky-fuller test for a variable, that you do it for different lag lengths and then choose the lag length with the minimum AIC or SBC values. However, how do you interpret negative AIC and SBC values? Do you use the one with the smallest absolute value or do you use the smallest negative value? Any help would be greatly appreciated!
I have a question about testing for stationarity. I know that when you conduct the augmented dicky-fuller test for a variable, that you do it for different lag lengths and then choose the lag length with the minimum AIC or SBC values. However, how do you interpret negative AIC and SBC values? Do you use the one with the smallest absolute value or do you use the smallest negative value? Any help would be greatly appreciated!