Hostname: page-component-586b7cd67f-g8jcs Total loading time: 0 Render date: 2024-11-28T12:28:53.356Z Has data issue: false hasContentIssue false
  • English
  • Français

AN INTEGRAL INEQUALITY ON C([0,1]) AND DISPERSION OF OLS UNDER NEAR-INTEGRATION

Published online by Cambridge University Press:  03 March 2001

Ralph W. Bailey ,
Peter Burridge  and
Shasikanta Nandeibam
Ralph W. Bailey
Affiliation:
University of Birmingham
Peter Burridge
Affiliation:
City University
Shasikanta Nandeibam
Affiliation:
University of Birmingham
Get access Rights & Permissions [Opens in a new window]

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.

Type
MISCELLANEA
Information
Econometric Theory , Volume 17 , Issue 2 , April 2001 , pp. 471 - 474
Copyright
© 2001 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)