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:
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.
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 ?