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 2
If Xt and Yt 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.
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