Page 1 of 1
Lag Selection via Tstat option
Posted: Mon May 09, 2011 2:33 am
by uchuk
Hi everybody,
I try to estimate an equation (ADF) by determining the optimal lag length via the significance of the last lag length. I tried to use several codes but I could not to this, can you help me?
Re: Lag Selection via Tstat option
Posted: Mon May 09, 2011 9:45 am
by EViews Glenn
What version of EViews are you using? EViews 7 offers this as a built-in feature...
Re: Lag Selection via Tstat option
Posted: Mon May 09, 2011 12:09 pm
by uchuk
Yes, I read the features list and I think this feature is great but I use previous version of Eviews, I tried to write a code, but since I am new to the Eviews, i could not; is there a simple code to use this feature?
Re: Lag Selection via Tstat option
Posted: Mon May 09, 2011 1:52 pm
by EViews Glenn
Unfortunately, none that I am aware...but someone might be able to step in and point you in the right direction. You can program this on your own, but it's non-trivial.