ADF UnitRoot Lag Choice
Posted: Fri Jun 14, 2013 6:41 am
Hi guys,
does someone know how to do the lag length selection for Unit Root testing (ADF)
The problem is eviews chooses a maxlag of 26 automatically but in any empirical paper is written about a maxlag of 6 or 5 and then testing down. (Problem with term structure of interest rates.)
Thanks=)
does someone know how to do the lag length selection for Unit Root testing (ADF)
The problem is eviews chooses a maxlag of 26 automatically but in any empirical paper is written about a maxlag of 6 or 5 and then testing down. (Problem with term structure of interest rates.)
Thanks=)