Dear all
I have an unbalanced panel and was looking for a way to determine optimal lag length in panels.
I run Fisher-type test, Augmented DF, ADF
and it works for unit root test.
My question is how do I get the optimal lag length in panel?
I know how to do that in the VARs. What about panels, though?
I will run a normal panel, if that is of interest
Mario
I have an unbalanced panel and was looking for a way to determine optimal lag length in panels.
I run Fisher-type test, Augmented DF, ADF
Code:
xtunitroot fisher varname, dfuller lags(0)
My question is how do I get the optimal lag length in panel?
I know how to do that in the VARs. What about panels, though?
I will run a normal panel, if that is of interest
Mario
