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?


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