ADFAUTOSELECT Procedure

@ADFAutoSelect is a procedure for selecting or aiding in the selection of the number of lags in an ADF test. It offers four different criteria for selection, and (optionally) can produce a table which includes all of them, or it can (silently) choose the lag length based upon a specific choice for the criterion. However, it is not so much designed for producing a final ADF test as it is for choosing the lag length for use in later calculations. The table produced by the PRINT option includes the ADF test, but this is an ADF test using only the data range permitted by the maximum number of lags, not the range that would be used for an ADF test for that specific number of lags. If you're just trying to do an ADF test and you know which selection criterion you want to use, use the @DFUNIT procedure instead.

@ADFAutoSelect( options ) series start end

Parameters

series	series to analyze
start end	range of series to use (not range over which test is run). By default, the defined range of series.

Options

DET=NONE/[CONSTANT]/TREND

Chooses the deterministic components

MAXLAG=maximum number of lags to consider [Schwert's 12(n/100)**.25]

MINLAG=minimum number of lags to consider [0]

CRIT=[AIC]/BIC/HQ/MAIC

Criterion to use in selecting lag length. AIC is Akaike IC, BIC is Schwarz Bayesian IC, HQ is Hannan-Quinn and MAIC is Perron and Ng's modified AIC.

YD=(input) GLS detrended series [not used]

PRINT/[NOPRINT]

Prints a table for the various criteria

TITLE=title of report ["Information Criteria for ADF Lag Lengths"]

Variables Defined

%%LAGS	chosen number of lags
%%AUTOP	chosen number of lags (also)
%CDSTAT	ADF test statistic at the chosen lag

Example

* Greene, Econometric Analysis, 7th Edition

* Example 23.3 and 23.4 from pp 957-959

open data tablef5-2.txt

calendar(q) 1950

data(format=prn,org=columns) 1950:01 2000:04 year qtr realgdp realcons $

realinvs realgovt realdpi cpi_u m1 tbilrate unemp pop infl realint

set loggdp = log(realgdp)

* ADFAutoSelect does a sequence of DF tests and displays a table of

* criteria which can be used to select the lag length. The final column

* has the test statistic. This differs from the one in the stand-alone

* DFUNIT because ADFAutoSelect uses only the data points allowed when 14

* lags are included, while DFUNIT (by default), uses the maximum range

* allowed with the number of lags used on it.

@adfautoselect(maxlags=14,det=trend,print) loggdp

@dfunit(lags=1,det=trend) loggdp

@ppunit(lags=4,det=trend) loggdp

* KPSS test (example 22.4)

@kpss(lags=10,det=constant) loggdp

@kpss(lags=10,det=trend) loggdp

Sample Output

Information Criteria for ADF Lag Lengths, Series LOGGDP

Lags AIC BIC HQ MAIC ADF

0 -9.274 -9.223 -9.253 -9.275 -1.700

1 -9.399 -9.330* -9.371* -9.365 -2.444

2 -9.400* -9.315 -9.366 -9.351 -2.674

3 -9.391 -9.288 -9.350 -9.348 -2.513

4 -9.386 -9.266 -9.338 -9.353 -2.301

5 -9.389 -9.251 -9.333 -9.368* -2.024

6 -9.382 -9.228 -9.320 -9.354 -2.129

7 -9.372 -9.200 -9.302 -9.344 -2.091

8 -9.362 -9.173 -9.285 -9.337 -2.007

9 -9.357 -9.151 -9.273 -9.324 -2.128

10 -9.347 -9.124 -9.257 -9.310 -2.167

11 -9.337 -9.097 -9.240 -9.304 -2.079

12 -9.343 -9.085 -9.238 -9.323 -1.822

13 -9.334 -9.060 -9.223 -9.318 -1.733

14 -9.326 -9.035 -9.208 -9.307 -1.789