The DOLS estimator has the following property if $X _ { t } \text { and } Y _ { t }$
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.

Question

Quizplus · Accepted Answer

The DOLS estimator is efficient in large samples when $X_t$ and $Y_t$ are cointegrated, meaning it achieves the lowest possible variance among unbiased estimators.

The DOLS Estimator Has the Following Property If Xt and YtX _ { t } \text { and } Y _ { t }Xt​ and Yt​

The DOLS Estimator Has the Following Property If $X _ { t } \text { and } Y _ { t }$