Hi all,
I'm really rusty with econometrics. I'm using hourly data for a period of 5 years for electricity prices in EU.
Now to my questions:
- I'm getting a bit confused with the rejection rule - do I use the Asymptotic Critical Values for Unit Root t Test: No Time Trend or the Asymptotic Critical Values for Unit Root t Test: Linear Time Trend?
- Furthermore, how many lags do I include ? (I listed two examles below).

Some intuition behind the answers would be much appreciated.

Thanks in advance

With
dfuller spanien, regress lags(3) trend

Augmented Dickey-Fuller test for unit root Number of obs = 593

---------- Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
------------------------------------------------------------------------------
Z(t) -8.720 -3.960 -3.410 -3.120
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000

------------------------------------------------------------------------------
D.spanien | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
spanien |
L1. | -.1163335 .0133409 -8.72 0.000 -.1425352 -.0901317
LD. | .6589711 .0386967 17.03 0.000 .5829703 .7349719
L2D. | -.0298718 .0469215 -0.64 0.525 -.1220262 .0622826
L3D. | .0336292 .0410083 0.82 0.413 -.0469117 .1141701
_trend | 1.69e-09 2.99e-10 5.66 0.000 1.11e-09 2.28e-09
_cons | 2.323316 .3907313 5.95 0.000 1.555914 3.090717
------------------------------------------------------------------------------


dfuller spanien, regress lags(20) trend

Augmented Dickey-Fuller test for unit root Number of obs = 576

---------- Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
------------------------------------------------------------------------------
Z(t) -2.485 -3.960 -3.410 -3.120
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.3355

------------------------------------------------------------------------------
D.spanien | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
spanien |
L1. | -.0501924 .0201987 -2.48 0.013 -.0898679 -.0105169
LD. | .4595212 .0447266 10.27 0.000 .3716664 .5473761
L2D. | -.1108756 .0483403 -2.29 0.022 -.2058287 -.0159224
L3D. | -.0035018 .0484835 -0.07 0.942 -.0987362 .0917326
L4D. | -.066747 .0477897 -1.40 0.163 -.1606186 .0271245
L5D. | -.046292 .0473965 -0.98 0.329 -.1393913 .0468072
L6D. | -.0821507 .0470023 -1.75 0.081 -.1744756 .0101742
L7D. | -.1368741 .0469751 -2.91 0.004 -.2291455 -.0446027
L8D. | -.0644875 .0472527 -1.36 0.173 -.1573043 .0283293
L9D. | -.0854498 .0472369 -1.81 0.071 -.1782355 .0073359
L10D. | -.0151067 .0470651 -0.32 0.748 -.1075549 .0773416
L11D. | -.0775144 .0470106 -1.65 0.100 -.1698557 .0148268
L12D. | -.0264028 .0468046 -0.56 0.573 -.1183393 .0655336
L13D. | -.0228395 .0465759 -0.49 0.624 -.1143268 .0686477
L14D. | -.0690745 .0459445 -1.50 0.133 -.1593215 .0211726
L15D. | -.086753 .0456488 -1.90 0.058 -.1764193 .0029132
L16D. | -.1170187 .0456741 -2.56 0.011 -.2067346 -.0273027
L17D. | -.1524057 .0456857 -3.34 0.001 -.2421445 -.062667
L18D. | -.0220443 .0460694 -0.48 0.632 -.1125367 .0684481
L19D. | -.1146814 .0455047 -2.52 0.012 -.2040647 -.0252982
L20D. | -.0807845 .0420122 -1.92 0.055 -.1633075 .0017384
_trend | 8.19e-10 3.72e-10 2.20 0.028 8.81e-11 1.55e-09
_cons | .9571733 .479872 1.99 0.047 .0145785 1.899768