Lag length for unit root test
Posted: 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.
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.