Ordering the dispersion of ordinary least squares under near-integration

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Publication details

JournalStatistics & Probability Letters
DatePublished - 1 Mar 2007
Issue number6
Volume77
Number of pages4
Pages (from-to)594-597
Original languageEnglish

Abstract

Suppose that the Ordinary Least Squares regressors X follow a vector Ornstein-Uhlenbeck process, with growth matrix bA. The limiting sample variance matrix V is of interest. If A=kI, k[greater-or-equal, slanted]0, then [not partial differential]V/[not partial differential]b[greater-or-equal, slanted]0. Remarkably, this inequality can fail for any other A.

    Research areas

  • Ornstein-Uhlenbeck Near-integration

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