Panel unit-root test, pescadf (Pasaran (2007), lag order.

[Sarah Kamal]

Dear all,

I'm using pescadf for a panel of (7,21), however, I'm not sure of the best way to select the number of lags. Is there a pre-command to particularly select lag order based on (AIC)?
I'm aware of varsoc, but I believe that would be for VARs and VECMs only.


pescadf x, demean trend lag (?)

Many thanks for your time!
Sarah

[Anat Tchetchik]

Sarah, I think that -varsoc- is appropriate for panel unit root tests, see the post of Andrew Musau from October 2016.