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d21572
2013 Apr 14
2
ZA unit root test lag order selection
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