Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float(Dlrgdp Dlop Dlexc Dunp Dinf)
           .            .            .           .           .
  -.04316902 -.0036604404 -.0008628368         -.1    2.503651
 -.028956413   -.08054447  -.020701766          .7   2.0455003
   .08399487    .17828774    .03753448         -.5    .8228207
  -.01137352   -.04705215    .06241119          .2     1.62337
 -.022613525   -.10607576    .06047547          .2   -.7381243
 -.015737534   -.05337715    .06826341          .4   -.4310148
   .05860233    .05288005   -.04127169         -.6  -1.1944033
  -.01995945   -.08884788   .019032836          .2  -.48498535
 -.025244713    .04567003    .02091241          .4   -.8472849
 -.009765625  -.009387732    .08882523          .4  -.19893816
   .06259918   -.00683546   .073213935          .4    .7637694
 -.009399414    -.0800426  -.005073905          .4   -1.834847
  .007008553   .010914087  .0083755255          .1   -.6644893
 -.017912865    .02732563   .032039404          .1  -1.3179516
  .065146446   -.04581285   .013346195        -1.2   -.5009662
   .00942421   .010084867    .02453232          .6    -.979468
 -.020303726   .002732754    .00676179          .1   .16417363
   .02085972   -.04061341    .07764363          .3   -.3391408
   .04980183  -.023606777    .05618048        -1.1   -.1692508
  .011543274 -.0044965744    .05679584          .5  -.27414608
 -.036082268  -.015342474   -.05182862         -.7   .06894309
   .01897907   .005304575   -.06399655          .8  .019889154
   .06870365   .035532236   -.06899428        -1.1   -.1504912
  -.02629471     -.492239   -.06177926           0    .1398328
 -.005705833    -.3213961    .01131153         -.1   .28220645
-.0007314682            0 -.0021862984          .4   1.9575448
   .07444286     .1625726   .011133432         -.6    .7993081
  -.04241371    .19018364   -.05986404          .7   1.1553462
  .003426552    .03786588   -.04718626         -.6   -.2632084
  -.03904152   .029469013  .0028271675          .4    -1.80022
   .09070873  -.064515114   -.03897548         -.3   -.4852419
   -.0380516   -.11970901  -.016815186          .6   -.3382464
  -.03488922    .02114606  -.017273188          .4  -.05461295
 -.009062767   -.13296938    .08864713          .5   -.4068208
   .06791592  -.069060326   -.03344822          .5   -.5988197
  -.05028057    .25841665   .016834259          .9  -1.3222104
   .02255535    .08156276     .0415448 -.033333335 -.016248424
 -.024207115   -.05910301   .004276037   .26666668    -.159935
   .07222748   .072547674  -.027472496         -.1  -.21699703
  -.02434349    .03893995   -.04696953    .7333333  .064706445
 -.025891304   -.20725727  -.006798387         -.5   -.5352536
 -.011367798     .4835284   -.05305231  .033333335 -.026493566
    .0831728     .1891837   -.04859436   -.3666667    .7205932
   -.0319252    -.4457831   .018657684    .7666667    -.624119
  .013855934   -.07966495    .12299943   -.3666667  -.09950262
 -.028817177    .05793595   .008721352   .23333333   -.3029495
   .06528664   .022568226  -.063886166  .033333335   -.9227142
   .00262928    -.1264615  -.005768895          .6    -.235843
 -.030332565     .1171906  -.006651998  -.13333334   .08376388
  .008387566   .015793324   -.08576798  .033333335  -.11639638
   .05217743   -.05341005    .09891403   -.3666667  -.06327721
  -.03020191   -.05233955    .08356285    .6333333    .3614076
 -.012756348 .00018525124   -.01551175  -.16666667   -.1864905
  .016050339      -.10499    .05739963           0  -.26853305
    .0934496   -.07940865    .01007378   -.7666667  -.16460283
  -.04366684   -.07587433   .015948415          .3   -.7418476
   .00847435    .15959454  -.031848192  .033333335  -.26816398
  -.02486992    .04682732   -.05193007         -.3    .5646817
   .09761047  -.026546717  -.016186953         -.4    .2017622
  -.02917862   .036661625  -.032115936   .56666666    .9194045
 -.031635284    .05387354   -.04464781   -.3333333  .033250786
   .02602291    -.1004212   .010604978         -.4   -.3688772
   .07105446   .032122374 -.0038758516         -.6   -.1604253
 -.011328697     .0757897    .02155018          .8   -1.267848
 -.030052185    .06210089   .018499613           0   .09279093
  .029580116     .0570159   -.01876986  -.23333333    .3933002
   .04030895    .11149788   .003127813  -.53333336    .3908738
 -.017730713   -.08976126     .0299412  .033333335    1.288968
   .03354168   -.13125277    .06529093 -.033333335   -.3671627
 -.025523186    .00897336    .05278087  -.26666668   -.4056301
    .0763483   .009778738   -.04578638   -.7666667  -.06284544
  -.01279831   -.28532577    .05636358          .1  -.07036417
  -.02697754  -.064397335  -.003437281   .16666667   .08619802
  -.02005291  -.021053314    .01630497   -.3666667   .04336648
   .06525898   -.09287786  -.019602537         -.6   .03437156
  -.02033615  -.017594099   .022954226          .3  -.06871117
 -.023492813     .3197281   .017477036   .16666667   .22185943
  .013630867     .2431948   .005753994   .23333333  -.42495185
   .07452679    .15230894   .006227255 -.033333335     .635814
-.0006017685    .11157179    .04070139   .23333333   .20604932
   -.0603199   .005619764    .06567001         -.2   .02448303
  .008555412    .11014366   .019916296   .13333334    .5073769
   .06538296  -.007164478   .032980442         -.3   -.3121837
 -.005785942   -.12935114   -.04024959          .3    .4127289
  -.04561424   .024876595   .032016277  .033333335    .4161568
  .010370255   -.05828905  -.020018816          .2    -1.38022
   .06894302   -.26657724  -.010724306         -.2  -.54820776
  -.04633999     .0800693  .0009560585    .3666667   -.9773316
   .02115917     .1861112   -.08499837           0  -.56555325
  -.03976345   .066512346   -.08406281  -.06666667    .9514818
   .07687569  -.007452488   -.02767825  -.13333334    .8089243
  -.02139473     .1587529   -.03637564    .4333333    2.376654
  -.04574585   -.16814756  -.006904006    .3666667   -2.358829
  .011060715     .0691607    .04578185          .1   -.3375081
  .064902306    .03383112     -.058622   -.3333333   -.6932737
  .014725685    .09015703  -.001775503  .033333335   -2.642757
  -.03930473    .10330415  -.006779671          .2   2.2560117
 -.018507004    .12952352 .00048577785   .16666667    .3781398
   .08005524    .05228329    -.0803665   -.3666667  .035423394
end
Based on my estimation sample, the FPE, AIC, HQIC picked 4 lags while the SBIC chose 1 lag. I understand that the FPE and AIC tend to overestimate estimate the lag order even in infinite samples while the SBIC and HQIC are generally quite accurate in in selecting the true lag order. In my case, the SBIC predicted 1 lag while the HQIC predicted 5 lags and can I, based on the fact that the other information criteria also chose 5 lags, consider my differenced variables to contain 5 lags?
varbasic Dlrgdp Dlop Dlexc Dunp Dinf, lags(1 2 3 4 5)