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.
Keywords
Autoregressive modelLaw of the iterated logarithmBayesian vector autoregressionOrder (exchange)EconometricsLogarithmMathematicsVector autoregressionApplied mathematicsIterated functionDegree (music)EstimationStatisticsEconomicsMathematical analysisPhysicsBayesian probability
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Publication Info
- Year
- 1979
- Type
- article
- Volume
- 41
- Issue
- 2
- Pages
- 190-195
- Citations
- 2946
- Access
- Closed
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Cite This
E. J. Hannan,
Barry G. Quinn
(1979).
The Determination of the Order of an Autoregression.
Journal of the Royal Statistical Society Series B (Statistical Methodology)
, 41
(2)
, 190-195.
https://doi.org/10.1111/j.2517-6161.1979.tb01072.x
Identifiers
- DOI
- 10.1111/j.2517-6161.1979.tb01072.x