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Power of the score test against bilinear time series models

Author

Listed:
  • Dominique Guegan

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

  • Dinh Tuan Pham

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

Abstract

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.

Suggested Citation

  • Dominique Guegan & Dinh Tuan Pham, 1992. "Power of the score test against bilinear time series models," Post-Print halshs-00199498, HAL.
    • Handle: RePEc:hal:journl:halshs-00199498
    as

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    Citations

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    Cited by:

    1. Wu, Berlin & Chang, Chih-Li, 2002. "Using genetic algorithms to parameters (d,r) estimation for threshold autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 38(3), pages 315-330, January.
    2. Guegan, Dominique & Wandji, Joseph Ngatchou, 1996. "Power of the Lagrange multiplier test for certain subdiagonal bilinear models," Statistics & Probability Letters, Elsevier, vol. 29(3), pages 201-212, September.
    3. Hai‐Bin Wang, 2005. "Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 743-757, September.
    4. Wu, Berlin, 1995. "Model-free forecasting for nonlinear time series (with application to exchange rates)," Computational Statistics & Data Analysis, Elsevier, vol. 19(4), pages 433-459, April.
    5. Guy Melard, 1994. "Modèles linéaires et non linéaires," ULB Institutional Repository 2013/13804, ULB -- Universite Libre de Bruxelles.

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