I've got two conflicting answers when I search the internet for my question. Since cointegration is sensitive to maximum lag length, it is important to choose maximum lag length wisely. According to one answer, maximum lag length in the underlying VAR should be 1 for annual data, 4 for quarterly, and 12 for monthly data. I use annual data, so I should use 1 for maximum lag length.
But if I use 1 for maximum lag length, why and how can I use any information criterion to obtain the optimal number of lags? I mean, if I only have one option, 1 lag, information criteria become useless, right?
Also, when I proceed to VECM, only one lag will not show any short-run relations between the variables, just to the cointegration coefficient, huh? I'm a novice at econometrics, so please bear with me if I'm asking silly questions.