st: Appropriate lags for Augmented Dickey-Fuller Test

[Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk>]

Hello.
Just a quick question.
When undergoing the Augmented Dickey Fuller Test, how do I decide on how many lags to include for each series?
Do I estimate the AR(p) model with different p-lag values and then find the one with the lowest AIC/BIC value?
 
Kind Regards.
 
Ihtesham
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