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ADF lag specification
Posted: Tue Mar 19, 2013 7:09 am
by 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?
Re: ADF lag specification
Posted: Tue Mar 19, 2013 9:46 am
by EViews Gareth
Re: ADF lag specification
Posted: Tue Mar 19, 2013 10:30 am
by Martinnyg
That worked. Thank you very much for your help.
Re: ADF lag specification
Posted: Thu Mar 21, 2013 2:10 am
by 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?
Re: ADF lag specification
Posted: Thu Mar 21, 2013 2:19 am
by Martinnyg
Nevermind. Found it myself.. It is lagpval=0.05.