On Thu, 14 Dec 2006, javier garcia enriquez wrote: That's explained in the help entry for adf, as follows: If the lag order, k, is greater than 0, then k lags of the dependent variable are included on the right-hand side of the test regressions, subject to the following qualification. If the --test-down option is given, k is taken as the maximum lag and the actual lag order used is obtained by testing down, using this algorithm: 1. Estimate the Dickey-Fuller regression with k lags of the dependent variable. 2. Is the last lag significant? If so, execute the test with lag order k. Otherwise, let k = k - 1; if k equals 0, execute the test with lag order 0, else go to step 1. In the context of step 2 above, "significant" means that the t-statistic for the last lag has an asymptotic two-sided p-value, against the normal distribution, of 0.10 or less. Allin Cottrell