Power of the Lagrange multiplier test for certain subdiagonal bilinear models

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.
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https://halshs.archives-ouvertes.fr/halshs-00199314
Contributor : Dominique Guégan <>
Submitted on : Tuesday, December 18, 2007 - 5:12:28 PM
Last modification on : Tuesday, April 2, 2019 - 2:25:03 AM

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

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