F-tests for lag length selection in augmented Dickey-Fuller regressions: some Monte Carlo evidence

Christian Weber

Applied Economics Letters, 2001, vol. 8, issue 7, 455-458

Abstract: This paper investigates the empirical performance of sequential f-tests as a criterion for selecting the lag length in Augmented Dickey-Fuller regressions. This criterion performs approximately as well as the AIC and a criterion based on eliminating residual autocorrelation. However, no single criterion is clearly superior to the other two.

Date: 2001
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DOI: 10.1080/13504850010004027

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