The procedure proposed by Hannan and Quinn (1979) for determining the order of univariate autoregressions is extended to multivariate autoregressions. The procedure is shown to be strongly consistent, while other similar procedures may be shown to be strongly consistent by comparison.
|Number of pages||4|
|Journal||Journal of the Royal Statistical Society. Series B: Statistical Methodology|
|Publication status||Published - 1980|
- multivariate autoregression
- autoregressive order
- law of iterated logarithm
- strong consistency