[R] ZA unit root test lag order selection
r.otojanov at qmul.ac.uk
Tue Apr 16 13:47:46 CEST 2013
Many thanks for your reply.
I was not sure what the best way forward in selecting lag length. Eventually
I wrote a function that carries out serial correl test and AIC based lag
length selections. I used "urca" package.
Here is what I come up with in the end:
# for lag order selection
>bgtest(attributes(zamod.A)$testreg,order=3)$p.value # to test for
the final decision on the best model comes from examining the results of AIC
and BG tests.
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