Pesaran PESCADF and CIPS optimal lags panel unit root

[Ana Colleh]

Hi,
I am running second generation panel unit root test, CIPS with "multipurt" and PESCADF with "pescadf", but I would like to know if there is a way to know the optimal lag selection, and if I need to include the trend or not ( or constant) because I get very different results, i.e. with 1lag I reject H0 but with 2lags I cannot reject H0...

(B) Pesaran (2007) Panel Unit Root test (CIPS)


| Specification without trend
-------------+--------------------------------------
Variable | lags Zt-bar p-value t-bar
-------------+--------------------------------------
lneu | 0 -1.096 0.137 .
lneu | 1 -2.497 0.006 .
lneu | 2 -2.116 0.017 .
-------------+--------------------------------------
lngdp | 0 -0.231 0.409 .
lngdp | 1 -2.774 0.003 .
lngdp | 2 -0.563 0.287 .
----------------------------------------------------
----------------------------------------------------
| Specification with trend
-------------+--------------------------------------
Variable | lags Zt-bar p-value t-bar
-------------+--------------------------------------
lneu | 0 1.483 0.931 .
lneu | 1 -0.019 0.492 .
lneu | 2 0.217 0.586 .
-------------+--------------------------------------
lngdp | 0 2.072 0.981 .
lngdp | 1 -1.956 0.025 .
lngdp | 2 0.540 0.705 .
----------------------------------------------------

Thanks

[Nupur Nirola]

Hi,I need the same solution how to get the optimal lag length for Pesaran pescadf test?