The DOLS estimator has the following property if Xt and Yt 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 Xt and Yt are cointegrated, meaning it provides the best linear unbiased estimates in terms of asymptotic properties.

The DOLS Estimator Has the Following Property If Xt and Yt