Volume 41, Issue 2 p. 190-195
Article

The Determination of the Order of an Autoregression

E. J. Hannan

E. J. Hannan

The Australian National University

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B. G. Quinn

B. G. Quinn

The Australian National University

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First published: January 1979
Citations: 623

Summary

It is shown that a strongly consistent estimation procedure for the order of an autoregression can be based on the law of the iterated logarithm for the partial autocorrelations. As compared to other strongly consistent procedures this procedure will underestimate the order to a lesser degree.