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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
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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.

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

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