I've done the exercise adding 1 2 3 4 5 6 7 8 9 and 1 2 3 4 5 6 7 9 in the lags' list, so in independt variable I've included no variables. My data set is weekly, but I've tried with yearly data and the result is the same (error with data). I've got other dubt: which is the difference between add 3 independt variables' lags and add 3 lags in AR lags' list?