The lag order of a Cointegration

Hi Guys,

I am currently solving a Cointegration between inflation/ treasure bills and monetary policy.

I got the basic Cointegration model but I don’t know how to determine the lag order of those variables.

But I tried two ideas:

First idea

Pro) I used the PACF to det. the lag of those variables (inflation/treasure bills etc …) some lags are significant but some are not.

Con) I used the sigf. Lags to build the model (got a good R²) but it don’t make sense in an economic way to only use random lags.

Second idea

Pro) I use the lag order of 4 and 30 to simulate the effect of inflation weekly and monetary policy monthly. It makes economically sense but …

Con) The are statistics are kind of shitty. The R² and the lags are Kind of useless …

Is there any test for det. The lag order ?

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