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.
Size of a test
Re: Size of a test
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.