[R] ZA unit root test lag order selection

londonphd r.otojanov at qmul.ac.uk
Sun Apr 14 16:37:46 CEST 2013

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

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

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

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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