### Abstract

Original language | English |
---|---|

Pages (from-to) | 471-474 |

Number of pages | 4 |

Journal | Econometric Theory |

Volume | 17 |

Publication status | Published - Apr 2001 |

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### Cite this

*Econometric Theory*,

*17*, 471-474.

**An integral inequality on C ([0,1]) and dispersion of OLS under near-integration.** / Bailey, Ralph W.; Burridge, Peter; Nandeibam, Shasikanta.

Research output: Contribution to journal › Article

*Econometric Theory*, vol. 17, pp. 471-474.

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TY - JOUR

T1 - An integral inequality on C ([0,1]) and dispersion of OLS under near-integration

AU - Bailey, Ralph W.

AU - Burridge, Peter

AU - Nandeibam, Shasikanta

PY - 2001/4

Y1 - 2001/4

N2 - We obtain an inequality for the sample variance of a vector Brownian motion on [0,1] and an associated Ornstein-Uhlenbeck process. The result is applied to a regression involving near-integrated regressors, and establishes that in the limit the dispersion of the least squares estimator is greater in the near-integrated than in the integrated case. Our proof uses a quite general integral inequality, which appears to be new.

AB - We obtain an inequality for the sample variance of a vector Brownian motion on [0,1] and an associated Ornstein-Uhlenbeck process. The result is applied to a regression involving near-integrated regressors, and establishes that in the limit the dispersion of the least squares estimator is greater in the near-integrated than in the integrated case. Our proof uses a quite general integral inequality, which appears to be new.

UR - http://www.jstor.org/stable/3533077

M3 - Article

VL - 17

SP - 471

EP - 474

JO - Econometric Theory

JF - Econometric Theory

SN - 0266-4666

ER -