I am interested in conducting panel unit root tests on a panel of subregional annual data where N>100 and T<10 (more specifically, depending on the independent variables included in each regression, T varies between 6 and 9). I want to implement the Maddala and Wu (1999) as well as the Pesaran (2007) panel unit root tests using multipurt command in Stata.
My question: what should my maximum lags be? I understand this often depends on the frequency of data i.e. 12 lags for monthly and 4 for quarterly data. Does it follow that annual data should have a max lag of 1? Given the shortness of my panel with T<10, I have concerns over specifying more lags than necessary.