Firstly, I am not asking for code, I would like the intution of how I would do this.
I am testing for size distortion. I have estimated and VAR(1) model and I have the parameters.
I want to simulate some data and see if by estimating via OLS I reject the null to frequently.
The VAR model is standard and I have the parameters,
I think I am following this link, What is the empirical size of a test?
They show no size disortion when sampling from the normal.
How can I tell if there is size distortion in an VAR model estimatied via OLS - That is my question?