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Research ArticleOpen accessIn the keywordsLAG SELECTION OF THE AUGMENTED KAPETANIOS-SHIN-SNELL NONLINEAR UNIT ROOT TESTJen-Je Su, Adrian Wai-Kong Cheung, Eduardo RocaWe provide simulation evidence that shed light on several size and power issues in relation to lag selection of the augmented (nonlinear) KSS test. Two lag selection approaches are considered-the Modified AIC (MAIC) approach and a sequential General to Specific (GS) testing approach Either one of these approaches can be used to select the optimal lag based on either the … …Journal of Mathematics and Statistics, Vol. 9, Issue 2 · 4 May 2013 · 7,872 accessesView PDF Cite

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