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AN INTEGRAL INEQUALITY ON C([0,1]) AND DISPERSION OF OLS UNDER NEAR-INTEGRATION
Published online by Cambridge University Press: 03 March 2001
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.
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- © 2001 Cambridge University Press
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