Monte Carlo Results for Bootstrap Tests in Systems with Integrated-Cointegrated Variables.
When we study the properties of a test procedure, two aspects are of prime importance. Firstly, we wish to know if the actual size of the test (i.e., the probability of rejecting the null when true) is close to the nominal size (used for calculating the critical values). Given that the actual size is a reasonable approximation to the nominal size, we then wish to investigate the actual power of th