An Integral Inequality on C([0,1]) with Application to the Ornstein-Uhlenbeck Process

Research output: Working paper

Author(s)

Department/unit(s)

Publication details

DatePublished - 1998
Original languageEnglish

Abstract

We obtain an inequality for the sample variance 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.

    Research areas

  • ECONOMETRICS

Discover related content

Find related publications, people, projects, datasets and more using interactive charts.

View graph of relations