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Original Articles

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

Pages 455-458 | Published online: 06 Oct 2010
 

Abstract

This paper investigates the empirical performance of sequential f-tests as a criterion for selecting the lag length in Augmented Dickey-Fuller regressions. This criterion performs approximately as well as the AIC and a criterion based on eliminating residual autocorrelation. However, no single criterion is clearly superior to the other two.

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