Assume that you have used the OLS estimator in the cointegrating regression and test the residual for a unit root using an ADF test. The resulting ADF test statistic has a
A)normal distribution in large samples.
B)non-normal distribution which requires ADF critical values for inference.
C)non-normal distribution which requires EG-ADF critical values for inference.
D)normal distribution when HAC standard errors are used.

Question

Quizplus · Accepted Answer

The ADF test statistic for residuals from a cointegrating regression follows a non-standard distribution, requiring Engle-Granger (EG) critical values for inference.

Assume That You Have Used the OLS Estimator in the Cointegrating