Power of the Lagrange multiplier test for certain subdiagonal bilinear models

Dominique Guegan () and Joseph Ngatchou Wandji ()
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Dominique Guegan: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Joseph Ngatchou Wandji: IG - Institut Galilée - UP13 - Université Paris 13

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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: 1996-09
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Published in Statistics and Probability Letters, 1996, 29 (3), pp.201-212. ⟨10.1016/0167-7152(95)00174-3⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00199314

DOI: 10.1016/0167-7152(95)00174-3

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