F-tests for lag length selection in augmented Dickey-Fuller regressions: some Monte Carlo evidence

Authors
Weber, CE
Citation
Ce. Weber, F-tests for lag length selection in augmented Dickey-Fuller regressions: some Monte Carlo evidence, APPL ECON L, 8(7), 2001, pp. 455-458
Citations number
11
Categorie Soggetti
Economics
Journal title
APPLIED ECONOMICS LETTERS
ISSN journal
13504851 → ACNP
Volume
8
Issue
7
Year of publication
2001
Pages
455 - 458
Database
ISI
SICI code
1350-4851(200107)8:7<455:FFLLSI>2.0.ZU;2-R
Abstract
This paper investigates the empirical performance of sequential f-tests as a criterion for selecting the lag length in Augmented Dickey-Fuller regress ions. This criterion performs approximately as well as the AIC and a criter ion based on eliminating residual autocorrelation. However, no single crite rion is clearly superior to the other two.