Monte Carlo studies suggest that choosing the lag order (p) of the unit
root tests according to the formula: Int {12(*T */100)1/ 4} where T* *is
the number of observations (Harris, 1992). For example sample period chosen
is 1985:01-2009:04 where T = 100 and thus, Int {12(100/100)1/4} = 12Harris, R. I. D. (1992), “Testing for unit roots using the augmented Dickey-Fuller test: Some issues relating to the size, power and the lag structure of the test”, *Economics Letters, *Vol. * *38, No. 4, pp. 381-386. On Sat, Nov 19, 2011 at 6:03 PM, Surya Dev <sungodno1(a)yahoo.com> wrote: > how do you choose optimal lag while carrying out ADF test in Gretl? > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users >
Monte Carlo studies suggest that choosing the lag order (p) of the unit root tests according to the formula: Int {12(T /100)1/ 4} where T is the number of observations (Harris, 1992). For example sample period chosen is 1985:01-2009:04 where T = 100 and thus, Int {12(100/100)1/4} = 12
Harris, R. I. D. (1992), Testing for unit roots
using the augmented Dickey-Fuller test: Some issues relating to the size, power
and the lag structure of the test, Economics
Letters, Vol. 38, No. 4, pp. 381-386.
On Sat, Nov 19, 2011 at 6:03 PM, Surya Dev <sungod...@yahoo.com> wrote:
how do you choose optimal lag while carrying out ADF test in Gretl?
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