[R] ZA unit root test lag order selection

londonphd r.otojanov at qmul.ac.uk
Tue Apr 16 13:47:46 CEST 2013

Dear Matthieu,

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:

>zamod.A=ur.za(x, model="intercept",lag=j)
# for lag order selection 
>bgtest(attributes(zamod.A)$testreg,order=3)$p.value        # to test for
serial correlation

the final decision on the best model comes from examining the results of AIC
and BG tests.


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