Laglength.Src

procedure laglength y start end laglength
TYPE SERIES y
TYPE INTEGER start end *laglength

option integer maxlag 1

local integer v1 v2  bestlag i
local real sbc sbcmin
inq(series=y) v1>>start v2>>end

lin(noprint) y v1+maxlag v2
# constant
compute sbcmin = %nobs*log(%rss) + (%nreg)*log(%nobs) , bestlag = 0

do i = 1,maxlag
	lin(noprint) y v1+maxlag v2
	# constant y{1 to i}
	compute sbc = %nobs*log(%rss) + (%nreg)*log(%nobs)
	if sbc < sbcmin ; compute bestlag = i , sbcmin = sbc
end do i
if bestlag.EQ.0 ; dis 'DO NOT USE LAGS'
if bestlag.GT.0
lin y v1+bestlag v2 ; # constant y{1 to bestlag}

if %defined(laglength) ; com laglength = bestlag
messagebox(style=yesno,status=status) 'Do you want to run a unit root test?'
if status.eq.1 ; @unit(lags=bestlag-1) y v1 v2

end laglength