Ordering the dispersion of ordinary least squares under near-integration

DOI10.1016/J.SPL.2006.09.005MaRDI QIDQ2643736zbMATH OpenOpenAlexFDO

Authors Ralph W. Bailey, Peter Burridge

Publication date 27 August 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2006.09.005

zbMATH Keywords

near-integrationOrnstein-Uhlenbeck

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• An integral inequality on \(C([0,1])\) and dispersion of OLS under near-integration
• Regression Theory for Near-Integrated Time Series

Cited in

(1)

• An integral inequality on \(C([0,1])\) and dispersion of OLS under near-integration

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