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ENH: Add warning when data set size is large and lags is not directly set #606

@cTatu

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@cTatu

Hi,

I was wondering if there was a way to make the unit root tests faster.
I have multiple dataset consisting of hundreds of millions of samples each.
The computation takes hours and it's only using 1 core from all 160 cores that I have available.
I will need to run this multiples times in a iterative process so waiting so much just for 1 test is pretty unfeasible.
Could be there an easy way to enable parallelization using for example ProcessPoolExecutors? or even GPU through Cupy?

Thank you

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