help dfgls

    maxlag(#) sets the value of k, the highest lag order for the first-differenced,
        detrended variable in the Dickey-Fuller regression.  By default, dfgls sets k
        according to the method proposed by Schwert; i.e., dfgls sets
        k_max=int[12{(T+1)/100}^(0.25)].

在默认情况下，Stata 会依据 k_max=int[12{(T+1)/100}^(0.25)] 来设定滞后阶数。通常而言，我们都不需要另外设定。