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
This selects the optimal lag length for an ADF unit root test (it does not do the UR test itself---see DFUNIT for that).
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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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00003
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