My name is Michael and I am doing a multivariable time series analysis for my PhD.

I have followed the usual steps (Please see the attached file below).

While watching instruction on how to run VECMs on youtube (from strong sources), I can see examples where after lag selection, Johansen's testing for cointegration requires to test for p-1 lags and lag selection for the VECM test also requires p-1. These authors claim that because the VECM model is rewriting the VAR by differencing and losing one lag, we must follow p-1 for lag selection. That is, if the VAR process, at level, suggests 3 lags for annual data, we use 2 lags for our Johansen's method and VECM testing (3-1) = 2 lags.

Please see below some examples of using EVIEWs and doing this:

https://www.youtube.com/watch?v=_5E77hTSjo4

https://www.youtube.com/watch?v=-5HjmawPq_w

Also, I have seen throughout instruction videos, that if Johansen's method suggests more than 1 cointegrating Vector, say 2, 3, 4, we can use 1 cointegrating vector within our VECM model. We can do this to reduce the complexity of results.

Please see below some examples of using EVIEWs and doing this:

https://www.youtube.com/watch?v=7BNbaGgmUf0

https://www.youtube.com/watch?v=l-0DgBzdKLQ

**My questions**

I have spoken to my PhD supervisor about this and she says it not always appropriate to follow online EVIEWS instructions, rather, she would like to see peer-reviewed journals and published books that suggest p-1 lags and only using 1 cointegrating vector is appropriate.

Does anyone have any experience or have read any peer-reviewed research or textbooks to find sources to reference? I am finding this task very difficult.

Thank you!