Message-ID: <1321272328959-4039259.post@n4.nabble.com>
Date: 2011-11-14T12:05:28Z
From: Claudio Lupi
Subject: What is the CADF test criterion="BIC" report?
In-Reply-To: <20111114113455.19479moxci8a68v3@wmail1.cc.ntu.edu.tw>
In order for the information criteria to be able to select the model, all the
models have to be estimated on the same sample. Therefore, all the models
are estimated and compared using the same sample used for the model
containing the largest number of lags. You can find this and other details
in
Lupi, C. (2009). "Unit Root CADF Testing with R", Journal of Statistical
Software, 2009, 32(2), 1-19
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