This is the README file for the code employed in the Monte Carlo of Fang and Santos (2018). The files included are:

1) MC_MakeData: Creates the Monte Carlo samples. The variable "Delta" is the local deviation, which needs to be set to different values in order to obtain local size/power numbers.
2) MC_RunSimulation: Conducts the hypothesis test across bootstrap replications. The variable "Delta" again refers to the local deviation and needs to be specified to that the file loads the corresponding .mat file created by MC_MakeData.
3) f_rq: Code for running quantile regression, written by Roger Koenker. Available online at www.econ.uiuc.edu/~roger/research/rq/rq.html
4) f_vectorqr: Using f_qr, it conducts quantile regression at multiple quantiles.