03-11-2017 09:06 PM
I would like to calculate the optimal lag length for a variable. I notice that it is possible by using Microfit as shown in this link (https://nomanarshed.wordpress.com/2014/11/16/a-manual-for-ardl-approach-to-cointegration/).
I would like to know whether this calculation be done using SAS codes?
03-11-2017 10:06 PM
I searched it in sas documentation. And find this at PROC AUTOREG . STATIONARITY=(ERS) STATIONARITY=(ERS=(value) STATIONARITY=(NP) STATIONARITY=(NP=(value) provides a class of efficient unit root tests, because they reduce the size distortion and improve the power compared with traditional unit root tests such as the augmented Dickey-Fuller and Phillips-Perron tests. Two test statistics are reported with the ERS= suboption: the point optimal test and the DF-GLS test, which are originally proposed in Elliott, Rothenberg, and Stock (1996). Elliott, Rothenberg, and Stock suggest using the Schwarz Bayesian information criterion to select the optimal lag length in the augmented Dickey-Fuller regression. The maximum lag length can be specified by ERS=value. The minimum lag length is 3 and the default maximum lag length is 8 Six tests, namely MZ , MSB, MZt, the modified point optimal test, the point optimal test, and the DF-GLS test, which are discussed in Ng and Perron (2001), are reported with the NP= suboption. Ng and Perron suggest using the modified AIC to select the optimal lag length in the augmented Dickey-Fuller regression by using GLS detrended data. The maximum lag length can be specified by NP=value. The default maximum lag length is 8. The maximum lag length in the ERS tests and Ng-Perron tests cannot exceed T =2 . 2, where T is the sample size.