How do i determine the number of lags # when doing the augmented dickey fuller
dfuller ln_consump, lags(#) trend
dfuller ln_consump, lags(#) trend
. webuse lutkepohl2 (Quarterly SA West German macro data, Bil DM, from Lutkepohl 1993 Table E.1) . tsset qtr time variable: qtr, 1960q1 to 1982q4 delta: 1 quarter . varsoc ln_consump, exog(qtr) Selection-order criteria Sample: 1961q1 - 1982q4 Number of obs = 88 +---------------------------------------------------------------------------+ |lag | LL LR df p FPE AIC HQIC SBIC | |----+----------------------------------------------------------------------| | 0 | 166.351 .001397 -3.73526 -3.71258 -3.67896 | | 1 | 273.716 214.73 1 0.000 .000125 -6.15263 -6.11861 -6.06818 | | 2 | 274.002 .57139 1 0.450 .000127 -6.1364 -6.09103 -6.02379 | | 3 | 276.19 4.3771 1 0.036 .000123 -6.16341 -6.1067 -6.02265 | | 4 | 281.13 9.8805* 1 0.002 .000113* -6.25296* -6.18491* -6.08405* | +---------------------------------------------------------------------------+ Endogenous: ln_consump Exogenous: qtr _cons . dfuller ln_consump, lags(3) trend regress Augmented Dickey-Fuller test for unit root Number of obs = 88 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -1.162 -4.066 -3.462 -3.157 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.9180 ------------------------------------------------------------------------------ D.ln_consump | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- ln_consump | L1. | -.0408541 .035157 -1.16 0.249 -.1107925 .0290843 LD. | -.0872179 .1078276 -0.81 0.421 -.3017213 .1272856 L2D. | .2795149 .1069497 2.61 0.011 .0667579 .4922719 L3D. | .3379435 .1082643 3.12 0.002 .1225713 .5533157 _trend | .000775 .0007044 1.10 0.274 -.0006263 .0021763 _cons | .2553876 .2092761 1.22 0.226 -.1609292 .6717045 ------------------------------------------------------------------------------
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