How do I choose the correct model for a regression?
Plot things. Do the raw data look like they have cycles? (I assume so, given that you are talking about economic data and want to use an autoregressive model.) Next, try to get the order of the autoregressive model by taking differences until the cycles disappear. This can also be tested formally using (a version of) the Durbin-Watson test. There will likely be further patterns. What do you see? Does the variability stay constant over time (likely when you have percentages) or is there a tendency for the variability to grow? What smooth (and simple) function follows the general distribution of the data? Fit it, assess the fit, repeat with different functions, until you have something reasonable.

Model selection is far more of an art than a science, and there often are several reasonable models that you can use.