Number of lags ADF test
Hi everyone,
I am doing a time-series analysis using the VECM.
I am currently carrying out the ADF test.
My question is: how should I select the number of lagged terms? Should I use the Akaike Information Criteria? And what's the difference between choosing the number of lagged terms for the ADF test vs the optimal number of lags for the VECM (varsoc command)?
Thanks in advance!
I am doing a time-series analysis using the VECM.
I am currently carrying out the ADF test.
My question is: how should I select the number of lagged terms? Should I use the Akaike Information Criteria? And what's the difference between choosing the number of lagged terms for the ADF test vs the optimal number of lags for the VECM (varsoc command)?
Thanks in advance!
