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Power of the Lagrange multiplier test for certain subdiagonal bilinear models

Author

Listed:
  • 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 - CNRS - Centre National de la Recherche Scientifique)

  • Joseph Ngatchou Wandji

    (IG - Institut Galilée - UP13 - Université Paris 13)

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.

Suggested Citation

  • Dominique Guegan & Joseph Ngatchou Wandji, 1996. "Power of the Lagrange multiplier test for certain subdiagonal bilinear models," Post-Print halshs-00199314, HAL.
    • Handle: RePEc:hal:journl:halshs-00199314
    DOI: 10.1016/0167-7152(95)00174-3
    as

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