Hello
I have a panel data with cross sectional dependence. I am now trying to perform the second generation unit root tests (CIPS). However, the command asks use to define the maximum number of lags as well as bglags(numlist) - that sets the serial correlation order to be tasted with the Breusch Godfrey Lagrange multiplier test in each individual regression.
My question is: How can I know what values to choose for both maxlags(#) and bglags(numlist)?
I have a panel data with cross sectional dependence. I am now trying to perform the second generation unit root tests (CIPS). However, the command asks use to define the maximum number of lags as well as bglags(numlist) - that sets the serial correlation order to be tasted with the Breusch Godfrey Lagrange multiplier test in each individual regression.
My question is: How can I know what values to choose for both maxlags(#) and bglags(numlist)?
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