What does autolag in adfuller method(Dicky Fuller Test) represent?

machine_learning
data_science
python

#1

I have a doubt on what does the autolag parameter in adfuller function represent.Documentation says :
if None, then maxlag lags are used
if ‘AIC’ (default) or ‘BIC’, then the number of lags is chosen to minimize the corresponding information criterion
‘t-stat’ based choice of maxlag. Starts with maxlag and drops a lag until the t-statistic on the last lag length is significant using a 5%-sized test
Does it represent the lagged time series?


#2

Check this. It may help you. But understanding what the test actually does can help you interpret the test and the lags related to the test better.

https://andyphilips.github.io/blog/2017/03/05/choosing-the-right-number-of-lags-in-unit-root-tests.html

and this below link is by the best explanation i have ever come across about Unit Root. This is legendary page that is bookmarked even in my Mobile.


#3

Thank you so much man!