[R] ZA unit root test lag order selection

[londonphd]

I was wondering if anyone could help with choosing optimal lag length for ZA
test.

There have been two lag order selection methods commonly used in the
literature:

1) The ZA paper recommends to run the test with maximum number of lags. Then
the lag order is reduced sequentially until the longest lag is statistically
significant;

2) One could also use AIC or SBC or other criteria to choose lag order.

I am using annual series with 22 observations. Which of the above lag order
selection procedures would be correct to apply?



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