t-stat criteria in DFGLS uroot-test
Posted: Thu Mar 27, 2014 1:39 pm
Hi,
When running the DFGLS unit root test it is possible to have the automatic lag-length based on t-values on the (final?) lag.
Is this implemented as a option to the command as well?
The following did not work
Thanks,
Dagfinn
When running the DFGLS unit root test it is possible to have the automatic lag-length based on t-values on the (final?) lag.
Is this implemented as a option to the command as well?
The following did not work
Code: Select all
freeze(tmp,mode="overwrite") fdgbp01.uroot(dfgls,lag="a",info="t")
Dagfinn