[Gretl-users] ADF lag length selection and normality of residuals?

Hello, I'm doing some work with unit roots and cointegration applied to energy prices. Currently I've run into a bit of a dilemma regarding the choice of lag length for the Augmented Dickey Fuller tests for stationarity. The problem is, that for one of the tested variables, I don't get normal residuals regardless of how many lags I include in the ADF regression. Does anyone have any suggestions on how i should tackle this? Best regards, Olle Olsson, Uppsala, Sweden