Information Criteria for Granger Causality Test

[Amaziah]

I am running a Granger Causality test and do not know how to determine how many lags to select. My professor has directed me to use either the Akaike information criterion, the Schwarz information criterion, or the Hannan-Quinn information criterion. I know that the goal is to select the lag structure that minimizes the selected information criterion.

My specification does not include any lags. What do I need to do to generate more information criterion to compare?

I apologize if this post is not clear. It is a result of the lack of clarity in my understanding.