The Dynamic OLS (DOLS)estimator of the Cointegrating Coefficient, If Y_t

question 23

Multiple Choice

The dynamic OLS (DOLS) estimator of the cointegrating coefficient, if Y_t and X_t are cointegrated,

• A)is efficient in large samples
• B)statistical inference about the cointegrating coefficient is valid
• C)the t-statistic constructed using the DOLS estimator with HAC standard errors has a standard normal distribution in large samples
• D)all of the above

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