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I have to do unit root test in R. I want to know which method to use in tseries::adf.test() in order to compute the lag length.

With other functions, such as CADFtest() and ur.df(), we can select the criterion to compute the lag length. I've see that adf.test() uses a formula equal k, but I don't understand the meaning of that formula.

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  • $\begingroup$ Check these questions, maybe you will find an answer. Now do you want to know how to select lag order in R (a question about using software, thus off topic) or what the theoretically optimal lag order is (on topic)? $\endgroup$ – Richard Hardy Jun 23 '17 at 17:31
  • $\begingroup$ Regarding the latter question, perhaps references from this answer will be useful. The answer considers DF-GLS and MPP tests, but there may be some discussion about the vanilla ADF test in the references. $\endgroup$ – Richard Hardy Jun 23 '17 at 17:39
  • $\begingroup$ Sorry but I've formulated the question in a wrong way, don't know why. What I want to know is which method use adf.test() by default to compute the lag length. Sorry again. Maybe I've to edit the question? $\endgroup$ – zar Jun 24 '17 at 7:46
  • $\begingroup$ Of course, that would be good! $\endgroup$ – Richard Hardy Jun 24 '17 at 7:56

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