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ADFAUTOSELECT: RATS procedure to select optimal lag length to be used for an ADF test

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: This selects the optimal lag length for an ADF unit root test (it does not do the UR test itself---see DFUNIT for that).

Language: RATS
Requires: RATS 7.30
Keywords: Unit; root; tests (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://www.estima.com/procs_perl/adfautoselect.src (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00003

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Page updated 2017-11-13
Handle: RePEc:boc:bocode:rts00003