Re: [Gretl-users] Lag Order for ADF Test
Btw, I was wondering why in the gretl output for panel unit root tests
the information criteria, which might be useful to select the right lag
order, are not reported by default.
It's a choice or simply a shortcoming?
On Fri, 2011-03-18 at 14:54 -0400, Allin Cottrell wrote:
Probably a year ago you posted script to test max lag in ADF using
> AIC or BIC or HQC criteria. I have trouble locating it the group
archive.
> Can you dig this out ? I would be very grateful.