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

Question

Quizplus · Accepted Answer

The DOLS estimator is efficient in large samples and allows for valid statistical inference about the cointegrating coefficient. Additionally, the t-statistic constructed using the DOLS estimator with HAC standard errors has a standard normal distribution in large samples. Therefore, all of the above options are correct.

The Dynamic OLS (DOLS)estimator of the Cointegrating Coefficient,if Yt and Xt