I'm curios how to get p-value?

[ktjd123]

Hi,

Thank you for great crate.

I'm curios if there is way to get p-value and automatic lag decision?

Thank you.

[ssoudan]

Hi,

The p-value estimation and automatic lag are not implemented.
statsmodels points to the methods (and references) used to do both. Contributions are welcomed.

Another source on choosing the lag: https://faculty.washington.edu/ezivot/econ584/notes/unitrootLecture2.pdf

[ll01]

python implementation of p-value estimation
https://github.com/statsmodels/statsmodels/blob/01b19d7d111b29c183f620ff0a949ef6391ff8ee/statsmodels/tsa/adfvalues.py#L223
python implementation of aic calculation
https://stackoverflow.com/questions/45033980/how-to-compute-aic-for-linear-regression-model-in-python
python implementation of best lag
https://github.com/statsmodels/statsmodels/blob/01b19d7d111b29c183f620ff0a949ef6391ff8ee/statsmodels/tsa/stattools.py#L69

[ssoudan]

Created #10 to track specifically the autolag.