On Mon, 9 Feb 2015, Artur T. wrote:
For the ADF-GLS unit root test one cannot select the criterion for
down the lag order -- but for the standard ADF test this is possible.
However, in case of the ADF-GLS test the criterion (automatically) selected
is just the last one used for the ADF-test.
I see what you mean. This is now fixed in my own source tree, but
sourceforge is flaky at the moment so CVS and snapshots will have to