On Asymptotic Prediction Problems for Multivariate Autoregressive Models in the Unstable Nonexplosive Case

Abstract

This paper considers the prediction problems of a k-dimensional, pth order autoregressive process with unstable but non-explosive roots and dependent error variables. The estimated predictor has been shown to be asymptotically equivalent to the optimal predictor. An expression for the meansquare error of the estimated predictor has also been derived .