We obtain an inequality for th esmaple varaince of a Brownian motion on [0,1] and an associated Ornstein-Uhlenbeck process. The result is applied to a regression involving a near-integrated regressor, and establishes that in the limit the dispersion of the least squares estimator is greater in the near-integrated than in the integrated case. The result uses a quite general integral inequality, which may be new.
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Paper provided by Department of Economics, University of Birmingham in its series Discussion Papers with number
98-01.