If $X _ { t } \text { and } Y _ { t }$ 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 in a cointegrating regression is consistent, meaning it converges to the true parameter value as the sample size increases. However, it may not be unbiased in small samples.

If Xt and YtX _ { t } \text { and } Y _ { t }Xt​ and Yt​

If $X _ { t } \text { and } Y _ { t }$