Power of the Lagrange multiplier test for certain subdiagonal bilinear models

Dominique Guegan (1) , Joseph Ngatchou Wandji (2)

1 CREST - Centre de Recherche en Économie et Statistique
2 IG - Institut Galilée

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.

Mots clés: Bilinear models; Lagrange multiplier test; Contiguity; Power of tests

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]

Dominique Guegan, Joseph Ngatchou Wandji. Power of the Lagrange multiplier test for certain subdiagonal bilinear models. Statistics and Probability Letters, 1996, 29 (3), pp.201-212. ⟨10.1016/0167-7152(95)00174-3⟩. ⟨halshs-00199314⟩