ADF lag specification

[Martinnyg]

I am writing a program for freezing some ADF-statistics from a recursive regression.. How do I tell eviews in the programming that I want it to use significant t-stats as my criteria for choosing lag length?

[EViews Gareth]

Code: Select all

series.uroot(lag=a, info=tstat)

[Martinnyg]

That worked. Thank you very much for your help.

[Martinnyg]

It seems eviews uses 0.1 as the default for critical value for choosing the significance of t-stats with this method? How do I change this to 0.05?

[Martinnyg]

Nevermind. Found it myself.. It is lagpval=0.05.