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.
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Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 17 (2001) Issue (Month): 02 (April) Pages: 471-474 Download reference. The following formats are available: HTML
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