If X_t 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 of the coefficient in the cointegrating regression is consistent, but not necessarily unbiased or BLUE. This means that with a larger sample size, the estimator will converge to the true value, but it may not be the best estimator in terms of bias or efficiency. Therefore, the correct choice is D, consistent.

If Xt and Yt Are Cointegrated, Then the OLS Estimator

If X_t and Y_t Are Cointegrated, Then the OLS Estimator