Lag selection in ECM using information criteria

[vm294]

Hi,

I'm fairly new to Eviews (and econometrics!) and i would like to know how I can find the optimal number of lags, using the schwarz or akaike information criterion for an ECM model.
I imagine that it's possible to run regressions with different lags and see which one has the highest log likelihood (lowest SIC AIC) but there must be a more efficient way to do this!

Cna you help me out?

Thanks

[sos]

top urgent!
i have encounter similar problem when I’m using Eviews7 and I want to run an ARDL model with the appropriate order of lags of each regressor, hence to choose the optimal lag of each 11 variables using SBC or AIC. Running a regression of (2)11 is cumbersome, so how can I select the optimal lag of each variable in order to have a parsimonious estimate.

[bjonyou]

I'm suffering the same fate. Have any of you guys received an answer for this?