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MatthieuStigler / tsDyn

tsDyn
tsdyn.googlecode.com
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lag length test #30

Closed Paviaym closed 3 years ago

Paviaym commented 3 years ago

I could not see a function about the determination of lag length for unit root tests, for instance for BBC or kapshintest. Can you please recommend a way to decide on the lag length in the execution of these tests? I was happy to see lags.select but later noticed that it is for cointegrated vectors.

MatthieuStigler commented 3 years ago

Hi Brian

Disclaimer: it has been a while I haven't used this model, and I am not up to date with the literature

I am not aware of specific criterion for lag length selection in the threshold unit root context. I would rely on tools for linear unit root tests. I think a major contribution was Ng and Perron (2001) modified AIC (not available in tsDyn), but there is surely something new in the meanwhile. See also this Stack post

Paviaym commented 3 years ago

Dear Matthieu,

Thank you for your response. I will check the post and paper you shared.

Best regards

Paviaym

On Mon, Dec 7, 2020, 23:31 Matthieu notifications@github.com wrote:

Hi Brian

Disclaimer: it has been a while I haven't used this model, and I am not up to date with the literature

I am not aware of specific criterion for lag length selection in the threshold unit root context. I would rely on tools for linear unit root tests. I think a major contribution was Ng and Perron (2001) modified AIC (not available in tsDyn), but there is surely something new in the meanwhile. See also this Stack post https://stats.stackexchange.com/questions/147956/lag-selection-for-augmented-dickey-fuller-test

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