Solved

The DOLS Estimator Has the Following Property If Xt and Yt

Question 27

Multiple Choice

The DOLS estimator has the following property if Xt and Yt 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.

Correct Answer:

verifed

Verified

Unlock this answer now
Get Access to more Verified Answers free of charge

Related Questions

Q22: You have collected quarterly Canadian data

Q23: The dynamic OLS (DOLS)estimator of the cointegrating

Q24: Your textbook states that there "are

Q25: Consider the GARCH(1,1)model <span class="ql-formula"

Q26: What role does the concept of cointegration

Q28: The order of integration<br>A)can never be zero.<br>B)is

Q29: The EG-ADF test<br>A)is the similar to the

Q30: One advantage of forecasts based on a

Q31: For the United States, there is somewhat

Q32: Unit root tests<br>A)use the standard normal distribution