Author Question: The EG-ADF test A) is the similar to the DF-GLS test B) is a test for cointegration C) has as a ... (Read 160 times)

washai · **on:** Jun 29, 2018

The EG-ADF test

A) is the similar to the DF-GLS test
B) is a test for cointegration
C) has as a limitation that it can only test if two variables, but not more than two, are cointegrated
D) uses the ADF in the second step of its procedure

Question 2

The dynamic OLS (DOLS) estimator of the cointegrating coefficient, if Yt and Xt are cointegrated,

A) is efficient in large samples
B) statistical inference about the cointegrating coefficient is valid
C) the t-statistic constructed using the DOLS estimator with HAC standard errors has a standard normal distribution in large samples
D) all of the above