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

Ralph W. Bailey, Peter Burridge, Shasikanta Nandeibam

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Abstract

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.
Original languageEnglish
Pages (from-to)471-474
Number of pages4
JournalEconometric Theory
Volume17
Publication statusPublished - Apr 2001

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regression
Integrated
Integral
Brownian motion
Least squares estimator
Ornstein-Uhlenbeck process

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

In: Econometric Theory, Vol. 17, 04.2001, p. 471-474.

Research output: Contribution to journalArticle

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