I would like to know how I can determine the appropriate amount of lags in Matlab or another statistical package. I'm getting confused with VAR models and ARMAX models all the time and I'm a little stuck to be honest. Introduction on ADL models at wikipedia: http://en.wikipedia.org/wiki/Distributed_lag
Example of my issue: I have one measure based on prices and one measure based on news. I expect a linear relationship between both but I expect the news based measure to be lagged to the price effect therefore I want to try to do a linear regression with the lagged news measures to the non-lagged price measure to check how the coherence (R-squared) changes. I expect the lag to be 3-5 days so that is what I want to check (also some autocorrelation could be present). I would like to do this without manually adding regressors (general-to-specific/specific-to-general) but with some model selection criteria for the number of lags if this is possible for the ADL(p,q). Still remains unclear to me how I should handle this.