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Power of the Lagrange multiplier test for certain subdiagonal bilinear models

✍ Scribed by Dominique Guegan; Joseph Ngatchou Wandji


Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
532 KB
Volume
29
Category
Article
ISSN
0167-7152

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Some comparisons of the relative power o
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## Abstract The power of Chow, linear, predictive failure and cusum of squares tests to detect structural change is compared in a two‐variable random walk model and a once‐for‐all parameter shift model. In each case the linear test has greatest power, followed by the Chow test. It is suggested that