Antoshin, Sergei; Berg, Andrew; Souto, Marcos - International Monetary Fund (IMF) - 2008
statistics for sequential testing. We show that, for most types of data generating processes in samples with as low as 50 … time series works well in large samples, but they found substantial deviations in both the size and power of their tests in … smaller samples. We propose modifying their methodology to deal with small samples by using Monte Carlo simulations to …