I have panel data (N = 10, T = 20), which I intend to run a series of regressions on. I first want to see if my data are stationary in levels or in differences. To do this, I have been performing Levin-Lin-Chu unit root tests in Stata with the -xtunitroot llc- command.
My issue is that I noticed that you can select a maximum number of lags for AIC to select from and changing this maximum number changes the outcomes of my tests. I'm not sure what I'm supposed to set it at or whether I should be including lags at all.
For example, the Stata FAQ gives the following relevant example using the -xtunitroot llc- command: https://www.stata.com/features/overview/panel-data-unit-root-tests/. I don't understand why they add the "lags(aic 10)" component, whether I should add such a component, and if so, what number I should you instead of 10.
Any help is greatly appreciated!