% This folder contains the files necessary to replicate the size results reported in Table 2 of our paper
% MPE contains the size results for Mean Prediction Error case, while Efficiency contains the efficiency test.
% In each of this folders there is a MCRollingGeneral.m file, which is the main file.
% We use CriticalValuesTable.m to calculate the critical values under the West and McCracken condition in Proposition 7. 
% CriticalValuesGeneral.m file provides the general codes that could be used to simulate the critical values even when West and McCracken condition is not satisfied.
% Moreover, in each of the main executable files there is an option for selecting whether or not to use the West and McCracken variance or not.