Assume That You Have Used the OLS Estimator in the Cointegrating

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 requires ADF critical values for inference.
C) non-normal distribution which requires EG-ADF critical values for inference.
D) normal distribution when HAC standard errors are used.