Lag Selection for ADF, VAR,VECM for quarterly data
Posted: Fri Aug 03, 2012 7:30 am
Hello
I'm testing quarterly dataset for stationarity, however, since the ADF results are very sensitive to lags, I'm getting different results each time I test down from 12, 10, or 4 lags.
The problem is also present for VECM modelling. The question is what is the suitable level to test down from for a quarterly data.
I'm using eviews 7.2.
Thanks
Abdullah
I'm testing quarterly dataset for stationarity, however, since the ADF results are very sensitive to lags, I'm getting different results each time I test down from 12, 10, or 4 lags.
The problem is also present for VECM modelling. The question is what is the suitable level to test down from for a quarterly data.
I'm using eviews 7.2.
Thanks
Abdullah