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Suppose that I tested for cointegration between two series that have structural breaks without considering the breaks and determined the number of lags to be, for example 5. When considering the breaks (as exogenous variables), do I have to go back and determine the number of lags? In other words, would including the breaks affect the number of lags, or I should be using the same number of lags as in the case without breaks, that is 5.

Thanks

Sal