Ordering the Dispersion of OLS Under Near-Integration

Ralph Bailey, P Burridge

Research output: Contribution to journalArticle


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.
Original languageEnglish
Pages (from-to)594-597
Number of pages4
JournalStatistics and Probability Letters
Publication statusPublished - 15 Mar 2007


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