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Power of the Lagrange multiplier test for certain subdiagonal bilinear models

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  • Guegan, Dominique
  • Wandji, Joseph Ngatchou

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

  • 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.
    • Handle: RePEc:eee:stapro:v:29:y:1996:i:3:p:201-212
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    References listed on IDEAS

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    1. Marc Hallin & Youssef Benghabrit, 1996. "Locally asymptotically optimal tests for autoregressive against bilinear serial dependence," ULB Institutional Repository 2013/2061, ULB -- Universite Libre de Bruxelles.
    2. Dominique Guegan & Dinh Tuan Pham, 1992. "Power of the score test against bilinear time series models," Post-Print halshs-00199498, HAL.
    3. Pham, Dinh Tuan, 1985. "Bilinear markovian representation and bilinear models," Stochastic Processes and their Applications, Elsevier, vol. 20(2), pages 295-306, September.
    4. T. Subba Rao & M. M. Gabr, 1980. "A Test For Linearity Of Stationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(2), pages 145-158, March.
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