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

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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Year of publication:	1998
Authors:	Bailey, R.W. ; Burridge, P. ; Nandeibam, S.
Institutions:	Department of Economics, University of Birmingham
Subject:	ECONOMETRICS

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Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	10 pages
Classification:	C10 - Econometric and Statistical Methods: General. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005086718