  Researchers often rely on the t-statistic to make inference on parameters in
statistical models. It is common practice to obtain critical values by
simulation techniques. This paper proposes a novel numerical method to obtain
an approximately similar test. This test rejects the null hypothesis when the
test statistic is larger than a critical value function (CVF) of the data. We
illustrate this procedure when regressors are highly persistent, a case in
which commonly-used simulation methods encounter difficulties controlling size
uniformly. Our approach works satisfactorily, controls size, and yields a test
which outperforms the two other known similar tests.
