ADF Insignificant Lags
Posted: Fri Aug 12, 2011 10:25 am
Hi,
I am facing the problem that I have a number of insignificant lags before an important significant lag appears. Hence I want to drop them.
How do I proceed with the test?
Lets say I want to test whether y_t= a_1*y_t-1+a_2*y_t-2+a_10*y_t-10 has a unit root(due to the fact that lags 3-9 are insignificant). Do I have to bootstrap the distribution?
Thank you.
I am facing the problem that I have a number of insignificant lags before an important significant lag appears. Hence I want to drop them.
How do I proceed with the test?
Lets say I want to test whether y_t= a_1*y_t-1+a_2*y_t-2+a_10*y_t-10 has a unit root(due to the fact that lags 3-9 are insignificant). Do I have to bootstrap the distribution?
Thank you.