Page 1 of 1
Automatic selection for DF GLS test - 2
Posted: Wed Oct 17, 2012 2:24 am
by kiber_master
Hello again!
Could you explaine, what does mean "t-statistic" criteria? for what should I set p-value for this criterion? I can't find info in Userguide.
Re: Automatic selection for DF GLS test - 2
Posted: Wed Oct 17, 2012 5:04 pm
by EViews Glenn
Test successively higher lag terms for statistical significance using a t-test with the specified p-value. Stop when there is a lag that is insignificant according to the test. It's a relatively new option that escaped documentation. It's a pretty standard approach that is discussed in all of the papers.
Re: Automatic selection for DF GLS test - 2
Posted: Thu Nov 22, 2012 2:43 am
by kiber_master
Sorry, but I didn't catch =(
Could you give a reference at least on one of the papers you mentioned?
And does this autoselection method correct sample using max lag, as other methods do?
Re: Automatic selection for DF GLS test - 2
Posted: Mon Nov 26, 2012 11:51 am
by EViews Glenn
Ng and Perron “Unit Root Tests in ARMA Models with
Data-Dependent Methods for the Selection of the Truncation Lag,” JASA, 1995.