Lag Lenght


New Member
Hi guys. I am making research and I am faced with some problem. I have VAR model and try to conduct ADF test. I use Schwarz criteria for defining lag lenght but in Eviews I must put max lag lengh. If i don't touch automatical defined lag length in first differences i don't have signification t-statistic. Can I change max lengh for another ? e.g. defined by Schwert rule? If I use automatically defined lag length for others series and Schwert rule only for one series will it has bad influence?