By the same authors

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

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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

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