We address the issue of order identification for hidden Markov models with Poisson and Gaussian emissions. We prove information-theoretic BIC-like mixture inequalities in the spirit of [Finesso, 1991; Liu and Narayan, 1994; Gassiat and Boucheron, 2003]. These inequalities lead to consistent penalized estimators that need no prior bound on the order. A simulation study and an application to postural analysis in humans are provided.