I am trying to identify the optimal lag for my multivariate time series and currently I am getting the optimal AIC at lag 98. I have never seen such large optimal lag is this correct?
Note that my data is hourly concentrations of carbon monoxide and the other variables are atmospheric measurements: temperature, wind speed, humidity and wind direction. Also the time series has been differenced for lag=1 to be stationary. After a couple of trial as I increased the
VARselect() I noticed that the AIC trends downward until lag 98 and then back up and that has been my criteria for optimal lag selection. Is this correct?