Author Question: Volatility clustering A) is evident in most cross-sections. B) implies that a series is serially ... (Read 229 times)

Melani1276 · **on:** Jun 29, 2018

Volatility clustering

A) is evident in most cross-sections.
B) implies that a series is serially correlated.
C) can mostly be found in studies of the labor market.
D) is evident in many financial time series.

Question 2

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.