Why the specific lags used in kpss unit root test in **ndiffs**?

[pgg1309]

Hi,
The function ndiffs uses a specific number of lags for the ur.kpss test

use.lag = trunc(3 * sqrt(length(x)) / 13)

Questions:
(a) why is this lag used ? would it make sense regardless of the periodicity of the series ?
(b) why not pick lags for the other two tests ? (ur.df and ur.pp)

Thanks!

[robjhyndman]

See https://stats.stackexchange.com/a/350363/159
Periodicity is irrelevant -- this is a unit root test, not a seasonality test.

We use the default lags for the other tests. This was purely about backwards compatibility.

[pgg1309]

Thanks!