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. Author manuscript; available in PMC: 2021 Sep 1.

Published in final edited form as: J Econom. 2020 Feb 15;218(1):119–139. doi: 10.1016/j.jeconom.2019.12.016

Table 1:

Type I error of Example 1

Test based on ${\hat{ϵ}}_{x}$ and ${\hat{ϵ}}_{y}$
n	100	120	140	160	180	200	220	240	260	280	300
	0.119	0.114	0.116	0.100	0.098	0.097	0.092	0.102	0.094	0.091	0.096
Test based on ϵ_x and ϵ_y
n	100	120	140	160	180	200	220	240	260	280	300
	0.086	0.102	0.104	0.094	0.092	0.091	0.096	0.103	0.098	0.092	0.095