We investigate local power of the Lagrange Multiplier test against Bilinear alternatives which are contiguous to the null hypothesis. An empirical study is made, through simulations, of the power of this test as a function of the values of the bilinear parameters, both in the neighborhood of the null hypothesis and far away from it. The theoretical comparison of the local power has been compared with simulations.
Publié le : 1992-01-05
Classification:
Bilinear model,
Lagrange multiplier test,
contiguity,
local power,
[SHS.ECO]Humanities and Social Sciences/Economies and finances,
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR],
[MATH.MATH-ST]Mathematics [math]/Statistics [math.ST]
@article{halshs-00199498,
author = {Guegan, Dominique and Pham, Dinh Tuan},
title = {Power of the score test against bilinear time series models},
journal = {HAL},
volume = {1992},
number = {0},
year = {1992},
language = {en},
url = {http://dml.mathdoc.fr/item/halshs-00199498}
}
Guegan, Dominique; Pham, Dinh Tuan. Power of the score test against bilinear time series models. HAL, Tome 1992 (1992) no. 0, . http://gdmltest.u-ga.fr/item/halshs-00199498/