Ordering the dispersion of ordinary least squares under near-integration

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.

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Year of publication:	2007
Authors:	Bailey, Ralph W. ; Burridge, Peter
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 6, p. 594-597
Publisher:	Elsevier
Subject:	Ornstein-Uhlenbeck Near-integration

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319546