Journal of Applied Sciences1812-56541812-5662Asian Network for Scientific Information10.3923/jas.2002.783.788Zazli Chik 7200227The order of fitted time series models is unknown and constitutes, in effect, additional unknown parameters for which suitable values have to be estimated from the observed data. The approached pioneered by Akaike and Parzen involving the use of an order selection criterion provides a remarkable breakthrough which transforms the order selection problem from one of hypothesis testing to that of estimation. Different authors use different methods of determining the order of their fitted short time series models. Various order selection criteria will be used in a simulation study on fitted short time series models and the performance of each of the order selection criteria in estimating the correct order are investigated.]]>Akaike, H.,196921243247Akaike, H.,197022203217Akaike, H.,197419716723Akaike, H.,197966237242Bhansali, R.J.,1988504660Bhansali, R.J.,19931993Coates, D.S. and P.J. Diggle,19867720Hannan, E.J. and B.G. Quinn,197941190195Hurvich, C.M. and C.L. Tsai,198976297307Hurvich, C.M. and C.L. Tsai,199314271279Jenkins, G.M. and D.G. Watts,1968pp: 525pp: 525Kane, R.P. and N.B. Trivedi,1991135463474Koreisha, S.G. and T. Pukkila,1993144769Martin, R.D.,19801980Newton, H.J. and M. Pagano,198471197202Paparoditis, E. and B. Streitberg,199113415434Parzen, E.,19691969Parzen, E.,197419723730Priestley, M.B.,19811st Edn.,pp: 653pp: 653Schwarz, G.,19786461464Shibata, R.,197663117126Stoica, P.,199019301310Swanepoel, J.W.H. and J.W.J. van Wyk,198673135141Whittle, P.,1963