Bailey, R.W.; Burridge, P.; Nandeibam, S. - Department of Economics, University of Birmingham - 1998
We obtain an inequality for th esmaple varaince of a Brownian motion on [0,1] and an associated Ornstein-Uhlenbeck process. The result is applied to a regression involving a near-integrated regressor, and establishes that in the limit the dispersion of the least squares estimator is greater in...