Solved – How to choose number of lags for Zivot unit root test

The fUnitRoots package considers lag=2 as the default value in the urzaTest() function (Zivot & Andrews unit root test), while for the function in the urca package the default is lag=NULL.

What is the "criteria" to choose a good number of lags?

(instead of a comment) I would go for the minimization of information criteria either AIC or BIC, or any other just choose the parameter k other than 2 in AIC() function:

require(urca) ## An example from example( data(nporg) gnp <- na.omit(nporg[, "gnp.r"]) za.gnp <-, model="both", lag=2) AIC(eval(attributes(za.gnp)$testreg)) [1] 485.0148 BIC(eval(attributes(za.gnp)$testreg)) [1] 501.6351 

For the efficient implementation you may consult on the stack-overflow, I think. A rough way to go is to run the for cycle, but it may be too slow.

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