[R] What is the CADF test criterion="BIC" report?

[Claudio Lupi]

Hi Paul,
You are right. Model selection takes places using the common data sample
across ALL checked models (otherwise you would end up comparing models
estimated on different data!). What the procedure returns are the results
based on the common sample. If you want to have the full-sample results, you
should re-run the model using the selected lags (fixed).
Best,
Claudio


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