An Integral Inequality on C (0,1) and Dispersion of OLS under Near-integration
Reference:
Nandeibam, S., Bailey, R. W. and Burridge, P., 2001. An Integral Inequality on C (0,1) and Dispersion of OLS under Near-integration. Econometric Theory, 17, 471--474.
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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.
Details
| Item Type | Articles |
| Creators | Nandeibam, S., Bailey, R. W. and Burridge, P. |
| Departments | Faculty of Humanities & Social Sciences > Social & Policy Sciences Faculty of Humanities & Social Sciences > Economics |
| Refereed | Yes |
| Status | Published |
| ID Code | 10260 |
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