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The Determination of the Order of an Autoregression

Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1979 · Vol. 41(2) · pp. 190–195

E. J. Hannan✉(Australian National University)Barry G. Quinn(Australian National University)

Abstract

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.

Advanced Statistical Methods and Models Statistical Methods and Inference Statistical and numerical algorithmsAutoregressive modelLaw of the iterated logarithmBayesian vector autoregressionOrder (exchange)EconometricsLogarithmMathematicsVector autoregressionApplied mathematicsIterated function

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