Estimating the Order of Autoregressive Models: The Max x ² Method

We develop a method of choosing the order of an autoregression to be used in conjunction with the subset autoregression technique (McClave 1975). A simulation is performed to compare this method (the max x 2 method) with Akaike's (1969, 1970) FPE technique of estimating order. The max x 2 outperforms FPE when used in conjunction with subset autoregression.