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


Reference:

Bailey, R. W., Burridge, P. and Nandeibam, S., 2001. An integral inequality on C ([0,1]) and dispersion of OLS under near-integration. Econometric Theory, 17, pp. 471-474.

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Official URL:

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

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.

Details

Item Type Articles
CreatorsBailey, R. W., Burridge, P. and Nandeibam, S.
DepartmentsFaculty of Humanities & Social Sciences > Social & Policy Sciences
Faculty of Humanities & Social Sciences > Economics
RefereedYes
StatusPublished
ID Code10260

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