Ordering the dispersion of ordinary least squares under near-integration

DOI10.1016/J.SPL.2006.09.005zbMath1126.62067OpenAlexW2038177057MaRDI QIDQ2643736

Peter Burridge, Ralph W. Bailey

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

Ornstein-Uhlenbecknear-integration

Mathematics Subject Classification ID

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

Cites Work

• AN INTEGRAL INEQUALITY ON C([0,1) AND DISPERSION OF OLS UNDER NEAR-INTEGRATION]
• Regression Theory for Near-Integrated Time Series

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