Ordering the dispersion of ordinary least squares under near-integration

Ralph Bailey () and Peter Burridge

Statistics & Probability Letters, 2007, vol. 77, issue 6, 594-597

Abstract: Suppose that the Ordinary Least Squares regressors X follow a vector Ornstein-Uhlenbeck process, with growth matrix bA. The limiting sample variance matrix V is of interest. If A=kI, k[greater-or-equal, slanted]0, then [not partial differential]V/[not partial differential]b[greater-or-equal, slanted]0. Remarkably, this inequality can fail for any other A.

Keywords: Ornstein-Uhlenbeck; Near-integration (search for similar items in EconPapers)
Date: 2007
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