The problem of developing an adaptive isogeometric method (AIGM) for solving elliptic second-order partial differential equations with truncated hierarchical B-splines of arbitrary degree and different order of continuity is addressed. The adaptivity analysis holds in any space dimensions. We consider a simple residual-type error estimator for which we provide a posteriori upper and lower bound in terms of local error indicators, taking also into account the critical role of oscillations as in a standard adaptive finite element setting. The error estimates are properly combined with a simple marking strategy to define a sequence of admissible locally rened meshes and corresponding approximate solutions. The design of a refine module that preserves the admissibility of the hierarchical mesh configuration between two consectutive steps of the adaptive loop is presented. The contraction property of the quasi-error, given by the sum of the energy error and the scaled error estimator, leads to the convergence proof of the AIGM.