Panel data Perron and Dickey-Fuller unit tests give OPPOSING results for half of the variables in my data set.
I believe that this has to do with lag selection process.
After I saw the opposing results with:
xtunitroot fisher ldelay, dfuller lags(10)
I used:
xtunitroot fisher ldelay, dfuller lags(aic 10)
in order for the lag order to be selected automatically according to Akaike information criteria,
but it doesn't work.
I don't know: (a) how to manually select the optimal lag and (b) lets say the Perron and ADF test results are still opposing, which one should I choose?
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