% This folder contains the files necessary to replicate the size results reported in Table 3 of our paper
% MCrecursivePower.m is the main executable file for the power results.There one could select whether to execute the power exercise for
% Mean Prediction Error or Efficiency, in addition to picking a particular DGP to work with. 
% CriticalValuesTable.m simulates the critical values under West and McCracken condition in Proposition 7. 
% CriticalValuesAlternative.m does the same, though utilizes the fact that under West and McCracken condition Wald test is nuisance parameter free 
% and can be simulated as a regular Brownian. These code runs faster, thus more convenient to use.
% FluctuationRationalityRec.m is used when testing if all or subset of regression coefficients are equal to zero
% olsWaldtest.m constructs a Wald test, while olsttestt.m constructs a t-test
% RecWeights.m provides with the recursive Weights approximations calculated in the paper. This file is needed only if critical values are generated
% with CriticalValuesTable.m.
% recserar.m is the supporting file used to generate data.