ADF TEST Using User Specified Lags

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wahab907
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Joined: Wed Sep 15, 2010 10:52 am

ADF TEST Using User Specified Lags

Postby wahab907 » Wed Sep 15, 2010 11:29 am

I have a question about lag selection in ADF-test. Although latest version select lags automatically but if we want to select user specified lags. Then what would be appropriate number of lags. Is there any methodology for selection of lags. Kindly help by referring some literature.
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