Is it possible to a priori select an acceptable values of type I and II errors in backtesting (f.e. in case of the unconditional coverage test)? Type I error is directly connected to the significance level, so manipulating it can lead to the desired outcome. What is more, when type II error has more serious consequences than type I error, a higher significance level should be selected.
Is there a way to quantify this problem? So as to choose a given significance level and at the same time know the probability of commiting those two types of errors?