Dear Matthieu, Many thanks for your reply. I was not sure what the best way forward in selecting lag length. Eventually I wrote a function that carries out serial correl test and AIC based lag length selections. I used "urca" package.
Here is what I come up with in the end: >zamod.A=ur.za(x, model="intercept",lag=j) >AIC(eval(attributes(zamod.A)$testreg)) # for lag order selection >bgtest(attributes(zamod.A)$testreg,order=3)$p.value # to test for serial correlation the final decision on the best model comes from examining the results of AIC and BG tests. Thanks, Rosh -- View this message in context: http://r.789695.n4.nabble.com/ZA-unit-root-test-lag-order-selection-tp4664183p4664350.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.
