Distribution Of Residual Autocovariances And Prediction Mean Square Error Properties The Multivariate Reduce Rank Autoregressive Model
The asymptotic distribution of residual autocovariance matrices from a fitted multicariate reduced rank autoregressive model is derived, and the portmanteau test for model adequacy based on the residual autocovariances is extended to the reduced rank model. A convenient asymptotic approximation for prediction mean square error matrix when estimated parameters are used for prediction in the reduced rank model is also obtained