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In the majority of cases the lag order selection is carried out using information criteria, and in particular the \\textit{H. Akaike} [2 nd Int. Symp. Inform. Theory, Tsahkadsor 1971, 267-281 (1973; Zbl 0283.62006)], \\textit{G. Schwarz} [Ann. Stat. 6, 461-464 (1978; Zbl 0379.62005)] or \\textit{E. J. Hannan} and \\textit{B. G. Quinn} [J. R. Stat. Soc., Ser. B 41, 190-195 (1979; Zbl 0408.62076)] criteria. It is well known that the latter two criteria are consistent in lag order selection in the sense of picking the true order of the system with probability one asymptotically. On the other hand, Akaike's criterion is known to overestimate the lag order in this sense. 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