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Abstract

1. Quinn, B.G., 1980. Order determination for a multivariate autoregression. J. Roy. Statist. Soc., B 42: 182–185.

The discussion of the determination of the order for univariate autoregressions has been extensive in the literature. In this paper, 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.

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