We study two criteria for deciding the order of AR processes. One of the criteria is AKAIKE'S FPE criterion. The other criterion was introduced by G. SCHWARZ in a non-time series context. We translate SCHWARZ'S criterion to a time series situation and via simulation experiments we make a numerical comparison between the new criterion and the FPE criterion. The new criterion was found to outperform the FPE criterion for low order models, while the opposite seems to be true for higher order models.