Incorporating lag order selection uncertainty in parameter inference for AR models (Q5941375)

Parameter inference on autoregressive models is usually carried out conditionally on a previously selected lag order. 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. We discuss the asymptotic distribution of the parameter estimates without conditioning on the lag order selected.