In the general vector autoregressive process AR(p), multivariate least square estimation (LSE)/maximum likelihood estimation (MLE) of a subset of the parameters is considered when the complementary subset is suspected to be redundant. This may be viewed as a special case of linear constraints of autoregressive parameters. We incorporate this nonsample information in the estimation process and propose preliminary test and Stein-type estimators for the target subset of parameters. Under local alternatives their asymptotic properties are investigated and compared with those of unrestricted and restricted LSE. The dominance picture of the estimators is presented.
In this paper the asymptotic equivalence of the estimated predictor and the optimal predictor of k-dimensional pth order autoregressive process in the stable case with dependent error variables bas been shown. An expression for the mean square error of the estimated predictor has also been derived.
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