Power of the score test against bilinear time series models
Résumé
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.