Bailey, Ralph W.; Burridge, Peter; Nandeibam, Shasikanta An integral inequality on \(C([0,1])\) and dispersion of OLS under near-integration. (English) Zbl 0982.60007 Econom. Theory 17, No. 2, 471-474 (2001). Summary: We obtain an inequality for the sample variance of a vector Brownian motion on \([0,1]\) and an associated Ornstein-Uhlenbeck process. The result is applied to a regression involving near-integrated regressors, and establishes that in the limit the dispersion of the least squares estimator is greater in the near-integrated than in the integrated case. Our proof uses a quite general integral inequality, which appears to be new. Cited in 1 Document MSC: 60E15 Inequalities; stochastic orderings 60J65 Brownian motion 26D15 Inequalities for sums, series and integrals Keywords:vector Brownian motion; Ornstein-Uhlenbeck process; near-integrated regressors PDFBibTeX XMLCite \textit{R. W. Bailey} et al., Econom. Theory 17, No. 2, 471--474 (2001; Zbl 0982.60007) Full Text: DOI