Order identification of ARMA models based on instrumental variable estimators
Alastair R. Hall · IEEE Transactions on Automatic Control · 1991
The author proposes a simple model selection procedure based on IV estimators, which can be viewed as an extension of P. Stoica's method (1981). The model selection procedure is based on a simple statistic with a known limiting distribution. It closely parallels the overfitting strategy applied to models estimated by nonlinear least squares.>