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Biometrika 1987 74(4):781-790; doi:10.1093/biomet/74.4.781
© 1987 by Biometrika Trust
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A modified Hannan—Rissanen strategy for mixed autoregressive-moving average order determination

D. S. POSKITT

Department of Statistics, Institute of Advanced Studies, Australian National University Canberra, A.C.T. 2601, Australia

A modification to the model selection strategy for mixed autoregressive-moving average order determination suggested by Hannan & Rissanen (1982) is proposed. The modification is designed to eliminate the bias discussed by Hannan & Kavalieris (1984) and involves the use of an alternative model selection criterion. Asymptotic properties of the modified procedure are established and some simulation evidence on the finite sample performance is provided.

Key Words: Autoregressive-moving average • Bias • Consistency • Model selection criterion • Order determination


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