If Xt and Yt are cointegrated,then the OLS estimator of the coefficient in the cointegrating regression is
A)BLUE.
B)unbiased when using HAC standard errors.
C)unbiased even in small samples.
D)consistent.

Question

Quizplus · Accepted Answer

The OLS estimator of the coefficient in the cointegrating regression is consistent. This means that as the sample size approaches infinity, the estimator will converge to the true value of the coefficient. However, the estimator can be biased in small samples, so it is important to have a sufficiently large sample size. HAC standard errors can help to account for any heteroskedasticity or autocorrelation in the data, but they do not impact the bias or consistency of the estimator itself. Therefore, choices A, B, and C are incorrect.

If Xt and Yt Are Cointegrated,then the OLS Estimator of the Coefficient