Power of the Lagrange multiplier test for certain subdiagonal bilinear models

Dominique Guegan and Joseph Ngatchou Wandji

Statistics & Probability Letters, 1996, vol. 29, issue 3, 201-212

Abstract: We investigate the local power of the Lagrange multiplier test against a sequence of bilinear alternatives contiguous to the null hypothesis. Simulation experiments show that the experimental power agrees with the theoretical power, and that these powers are good.

Keywords: Bilinear; models; Lagrange; multiplier; test; Contiguity; Power; of; tests (search for similar items in EconPapers)
Date: 1996
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