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

Ralph Bailey (), Peter Burridge and Shasikanta Nandeibam

Econometric Theory, 2001, vol. 17, issue 2, 471-474

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.

Date: 2001
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