The DOLS Estimator Has the Following Property If X_t and Y_t

question 27

Multiple Choice

The DOLS estimator has the following property if X_t and Y_t are cointegrated:

• A)it is BLUE even in small samples.
• B)it is efficient in large samples.
• C)it has a standard normal distribution when homoskedasticity-only standard errors are used.
• D)it has a non-normal distribution in large samples when HAC standard errors are used.

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