Hi,
I attempt to conduct the unit root test with the two functions
unitrootTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL,
description = NULL)
adfTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL,
description = NULL)
According to the document,
"lags is the maximum number of lags used for error term correction."
However, it seems that lags is the number of lags used, NOT the
MAXIMUM number of lags used. For example, if I write lags =12, I
expect a lag between 1 and 12, but it always gives lags =12. Could the
function choose the lags from a range (say, 1-12) based on information
criteria (AIC or BIC)?
Thanks,
Miao
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
