POWER OF THE LAGRANGE MULTIPLIER TEST FOR CERTAIN 2ND-ORDER SUB-DIAGONAL BILINEAR MODELS

Authors
GUEGAN D WANDJI JN
Citation
D. Guegan et Jn. Wandji, POWER OF THE LAGRANGE MULTIPLIER TEST FOR CERTAIN 2ND-ORDER SUB-DIAGONAL BILINEAR MODELS, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 322(2), 1996, pp. 179-184
Citations number
8
Categorie Soggetti
Mathematics, General",Mathematics
Journal title
Comptes rendus de l'Academie des sciences. Serie 1, Mathematique → ACNP
ISSN journal
07644442
Volume
322
Issue
2
Year of publication
1996
Pages
179 - 184
Database
ISI
SICI code
0764-4442(1996)322:2<179:POTLMT>2.0.ZU;2-W
Abstract
We use Lagrange multiplier test to discriminate between linear first o rder autoregressive models and certain second order sub-diagonal model s, for which we give an invertibility condition. We prove the contigui ty of a sequence of local alternatives to the null hypothesis. Using L e Cam's third lemma, we derive an explicit formula for the local theor etical power of the test.