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The DOLS Estimator Has the Following Property If Xt and Yt

Question 5

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.

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