Multiple Choice
The dynamic OLS (DOLS) estimator of the cointegrating coefficient, if Yt and Xt 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
Correct Answer:
Verified
Correct Answer:
Verified
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