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<form class="sort">
  <label>Order 
    <select name="order">
    	<option value="asc" <?php selected( $_GET['order'], 'asc' ) ;?>>A-Z</option>
    	<option value="desc" <?php selected( $_GET['order'], 'desc' ) ;?>>Z-A</option>
    </select>
  </label>
</form>

<script type="text/javascript">
  jQuery( '.sort' ).on( 'change', function() {
  	jQuery( this ).submit();
  } );
</script>