Abstract
where at are independent N(0, A), and A = ((nij)). Denote by ?D(L) the polynomial Im -1L-...-pLP, where L is the lag operator, LYt = Yt-1, and Im is the mxm identity matrix. It is assumed that det {(D(z)} has all roots lying outside the unit circle. Consequently Yt = X 'at-,, where 10 = I and /' -+ 0 as s -+ oo. It may happen that an m-dimensional series can be predicted by a lower dimensional index series it. Reinsel (1983) discusses the modelling of (1) under the assumption that
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