TY - JOUR
T1 - Ordering the Dispersion of OLS Under Near-Integration
AU - Bailey, Ralph
AU - Burridge, P
PY - 2007/3/15
Y1 - 2007/3/15
N2 - 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 >= 0, then a partial derivative v/partial derivative b >= 0. Remarkably, this inequality can fail for any other A. (c) 2006 Elsevier B.V. All rights reserved.
AB - 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 >= 0, then a partial derivative v/partial derivative b >= 0. Remarkably, this inequality can fail for any other A. (c) 2006 Elsevier B.V. All rights reserved.
UR - http://www.scopus.com/inward/record.url?scp=33847077153&partnerID=8YFLogxK
U2 - 10.1016/j.spl.2006.09.005
DO - 10.1016/j.spl.2006.09.005
M3 - Article
VL - 77
SP - 594
EP - 597
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
ER -