Re: [Gretl-users] unit root test

Monte Carlo studies suggest that choosing the lag order (p) of the unit root tests according to the formula: Int {12(*T */100)1/ 4} where T* *is the number of observations (Harris, 1992). For example sample period chosen is 1985:01-2009:04 where T = 100 and thus, Int {12(100/100)1/4} = 12 Harris, R. I. D. (1992), “Testing for unit roots using the augmented Dickey-Fuller test: Some issues relating to the size, power and the lag structure of the test”, *Economics Letters, *Vol. * *38, No. 4, pp. 381-386. On Sat, Nov 19, 2011 at 6:03 PM, Surya Dev <sungodno1(a)yahoo.com&gt; wrote: