Abstract: Order estimation procedures for autoregressive moving average models such as minimum BIC, a procedure introduced in Pötscher (1990) and variants thereo f, as well as Pukkila, Koreisha & Kallinen's (1990) procedure are compared on the basis of large and small sample results. The relationship between these procedures is also discussed.
Key words and phrases: Time Series, ARMA models, order estimation, model selection, minimum BIC.