Journal of Probability and Statistics

Research Article

The Failure of Orthogonality under Nonstationarity: Should We Care About It?

Figure 1

Finite-sample behavior of ̂ ‌ 𝛽 − 𝛽 𝑦 : sample size and 𝛽 𝑦 range from 𝑇 = 5 0 - 7 0 0 and −5 to 5, respectively; 𝜌 𝑦 1 = − 0 . 1 5 ; 𝜌 𝑦 2 = 1 . 5 ; 𝜌 𝑥 = 4 ; 𝜎 2 𝑦 = 𝜎 2 𝑥 = 1 ; 𝜇 𝑦 = 4 . 2 0 ; 𝜇 𝑥 = 0 . 7 0 . Number of replications (for each coordinate): 20; grid density: 7 0 × 3 0 .
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