In SAS ARIMA procedures, to use test of ADF, we need to determine lag length. MINIC option can help determine lag length. However, I want to know how can we set some option such that MINIC can work on a particular setting, say, random walk, random walk with drift, or random walk with trend (plus lagged difference terms)? For instance, the lag length may be AR4 under random walk setting (plus lagged difference terms), and AR10 under random walk with drift (plus lagged difference terms)?.
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