I was wondering if anyone could help with choosing optimal lag length for ZA test.
There have been two lag order selection methods commonly used in the literature: 1) The ZA paper recommends to run the test with maximum number of lags. Then the lag order is reduced sequentially until the longest lag is statistically significant; 2) One could also use AIC or SBC or other criteria to choose lag order. I am using annual series with 22 observations. Which of the above lag order selection procedures would be correct to apply? -- View this message in context: http://r.789695.n4.nabble.com/ZA-unit-root-test-lag-order-selection-tp4664183.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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.
