Pls, kindly describe the procedure for calculating the percentage of rejection of the null hypothesis in cointegration test. Asumming i am using a sample size of 500
500 sample size corresponds to a p-value by using bootstrap resampling. By using different 500 sample size 100 times, then the percantage of rejection is rejection times/100.
Irrespective of the test and sample size used, if a test is carried out under the same condition, (same sample size, data simulated from same distributions say, etc), say 100 times, the number of times the null hypothesis is rejected, is the percentage frequency of rejection of the test. Where the number of replications of the test is not 100, assume n replications, then the percentage frequency of rejection of the test is (number of times the null hypothesis is rejected divided by n) x 100.
Thanks Nwosu Chinwe R. Yes, that has been my thought but some researchers at times mislead and describe different things. Tianshun Yan, you are also on point, thanks.