Hello everyone!
Quite a similar question has been posed here some time ago, but there was no
explicit solution offered. So I hope that it is OK to pose it again.
I want to perform a KPSS test using the packages "urca" or
"tseries". But I
neither want to use the predefined lag structures, "short" and
"long", nor
specify the number of lags arbitrarily by myself. Unfortunately there is, or
I have not found it yet, no possibility of an automatic lag selection. Using
"EViews" there is such an option.
Well, my questions are the following ones. Is there such an option in some
package, which I have been too blind to find? Or otherwise; is there an easy
kind of work-around to select the bandwith in advance and use it in the
above mentioned packages?
Thanks for your attention and help!
Florian
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