Optimal lag selection in r

1. How do I choose optimal lag length?
2. How do you choose lag length in cointegration?
3. How do you choose lags for unit root test?

How do I choose optimal lag length?

This lag length is frequently selected using an explicit statistical criterion such as the AIC or SIC. Symmetric lag VAR models are easily estimated; since the specification of all equations of the model is the same, estimation by ordinary least squares yields efficient parameter estimates.

How do you choose lag length in cointegration?

Usually, beginners in time series econometrics tend to skip step d. e. For the cointegration, the lag length is the lag length chosen from step d minus one (since we are running the model in first difference now, unlike in level when we used VAR to decide the lag length).

How do you choose lags for unit root test?

Set an upper bound pmax for p. Estimate the ADF test regression with p = pmax. If the absolute value of the t-statistic for testing the significance of the last lagged difference is greater than 1.6 then set p = pmax and perform the unit root test. Otherwise, reduce the lag length by one and repeat the process.