ABSTRACT
Shibata (1980, 1981), on the other hand, has shown that if min Eq. (2.1) is infinite, the order selection by AIC and by a criterion of the form in Eq. ( 4.1) with a fixed et > l is asymptotically efficient from the point-of-view of autoregressive spectral estimation and one-step prediction, but the order selection by BIC and any other consistent criterion by contrast is not asymptotically efficient in the sense defined by this author.
