Assume That You Have Used the OLS Estimator in the Cointegrating

question 9

Multiple Choice

Assume that you have used the OLS estimator in the cointegrating regression and test the residual for a unit root using an ADF test.The resulting ADF test statistic has a

• A)normal distribution in large samples.
• B)non-normal distribution which require ADF critical values for inference.
• C)non-normal distribution which require EG-ADF critical values for inference.
• D)normal distribution when HAC standard errors are used.

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