To choose the number of lags in either an autoregression or in a time series regression model with multiple predictors, you can use any of the following test statistics with the
Exception of the
A)F-statistic.
B)Akaike Information Criterion.
C)Bayes Information Criterion.
D)Augmented Dickey-Fuller test.

Question

Quizplus · Accepted Answer

The Augmented Dickey-Fuller test is used to test for the presence of a unit root in a time series, not to choose the number of lags in an autoregression or time series regression model.

To Choose the Number of Lags in Either an Autoregression