Dear Statalisters,
I have an unbalanced panel and was looking for a way to determine optimal lag length in panels.
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I run Fisher-type test, Augmented DF, ADF
Code:
xtunitroot fisher varname, dfuller lags(0)
and it works for unit root test.

My question is how do I get the optimal lag length in panel?
I know how to do that in the VARs. What about panels, thought?
I will run a normal panel, if that is of interest

Thank you.
Mario Ferri