单位根检验滞后期的问题

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stata的dfuller检验的option中有个lags（#）选项，一般来讲lags（#）的大小对检验的结果是有影响的，取的太大会降低模型结果的功效，太小又会因自相关性而出现偏误。eviews里面是用信息准则来实现滞后期数的选取的，dfuller命令并没有这个功能。请问连老师,怎么可以实现lags（）选择呢?

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关键词：单位根检验 滞后期 dfuller检验 Fuller Option 单位 检验

varsoc可不可以啊

建议采用 dfgls 进行单根检验，该命令提供了三种选择滞后阶数的方法。
Baum 的论文（pp.54）也对此进行了讨论。
http://www.stata-journal.com/sjpdf.html?articlenum=st0080

另外，Statalist 有个帖子专门讨论这个问题。
http://www.stata.com/statalist/archive/2009-08/msg01382.html

Not really. -dfuller- provides what are called parametric augmented
Dickey-Fuller (ADF) tests, which require explicit specification of the
(linear) trend component. -dfgls- belongs to a class of efficient ADF
unit root tests, which involve running the ADF tests on
quasi-differenced series (wherby a trend is extracted by GLS
detrending) - leading, typically, to greater power properties.

In either case, -dfuller- does not include a trend by default and
-dfgls- does. So as you are using them, they are not comparable. For
quick diagnostics on unit roots, I prefer -dfgls-.

I can point you to the excellent exposition in Phillips and Xiao
(1998) & [TS] dfgls.

--- References ---
@article{phillips1998primer,
  title={{A Primer on Unit Root Testing}},
  author={Phillips, P.C.B. and Xiao, Z.},
  journal={Journal of Economic Surveys},
  volume={12},
  number={5},
  pages={423--470},
  year={1998},
  publisher={Blackwell Publishers Ltd}
}