Lag length for unit root test

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Lag length for unit root test

Postby 008 » Sun Feb 20, 2011 1:47 am

I would like to test the unit root using ADF test in several independent variables.
But if I use AIC as the lag criterion, some independent variables are stationary in different level (some are I(0), some are I(1) or I(2)).
So I tried to use various lag criterion. But I'm doubt if I can use different criterion for lag length among those independent variables.


Thanks a lot.

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