VAR system produces no W.N correlogram for all lag order

[hoct]

Hi there,
I am buiding a VAR system. I try two models: one with dummies and one without dummies. The lag length criteria suggests some different lag orders for each model. However, when I test the lag order from smallest to the highest, both models do not produce white noise correlograms for all lag orders. In addition, the IC are conflicting in suggesting which model is better. Is there anyone helping me? Thank you so much.
Regards