First of all run a simple VAR, set the maximum lag(which is the discretion of the researcher) and choose the optimal lag based on either AIC, BIC(SIC), FPE or HQC. For goodness of fit, use the AIC or FPE if observations are less than 60 and the HQC if observations are more than 60( Khim Liew,2004):
http://www.accessecon.com/pubs/eb/2004/volume3/EB-04C20021A.pdf