Size of a test

Econometrics questions and discussions
ecrgap
Posts: 36
Joined: Mon May 25, 2009 10:24 am

Size of a test

Unread post by ecrgap »

Dear All

I have computed the power of various tests, however I found difficulties in computing their size. Could anyone help me on that (for the ADF in an AR(1) for example).

Thank you very much in advance.
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Size of a test

Unread post by TomDoan »

If you can compute the power, why can't you compute the size? The first is done by simulating the data under the alternative; the second by simulating under the null.
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