  For analyzing unit-level multivariate data in small area estimation, we
consider the multivariate nested error regression model (MNER) and provide the
empirical best linear unbiased predictor (EBLUP) of a small area characteristic
based on second-order unbiased and consistent estimators of the `within' and
`between' multivariate components of variance. The second-order approximation
of the mean squared error (MSE) matrix of the EBLUP and its unbiased estimator
are derived in closed forms. The confidence interval with second-order accuracy
is also provided analytically.
