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.