I am using the Breusch-Godfrey for autocorrelation, but I dont know how many lags should I use?

I am testing seasonality of funds returns with the following OLS model:


Rt is the return on funds; B0 is the intercept; Dmt is the dummy variable. The value 1 corresponding to January and 0 otherwise; Ut is error term

My data is daily.

Any feedback you could give me would be greatly appreciated
Last edited: