[R] Lag selection in Unit Root Test

[jpm miao]

Hi,

   I attempt to conduct the unit root test with the two functions

unitrootTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL,
    description = NULL)

adfTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL,
    description = NULL)

According to the document,
"lags	 is the maximum number of lags used for error term correction."

   However, it seems that lags is the number of lags used, NOT the
MAXIMUM number of lags used. For example, if I write lags =12, I
expect a lag between 1 and 12, but it always gives lags =12. Could the
function choose the lags from a range (say, 1-12) based on information
criteria (AIC or BIC)?

    Thanks,

Miao