Article ID Journal Published Year Pages File Type
1153990 Statistics & Probability Letters 2007 4 Pages PDF
Abstract
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 ∂V/∂b⩾0. Remarkably, this inequality can fail for any other A.
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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Ordering the dispersion of ordinary least squares under near-integration
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