Research output: Contribution to journal › Article › peer-review

Journal | Statistics & Probability Letters |
---|---|

Date | Published - 1 Mar 2007 |

Issue number | 6 |

Volume | 77 |

Number of pages | 4 |

Pages (from-to) | 594-597 |

Original language | English |

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.

- Ornstein-Uhlenbeck Near-integration

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