Local power of some tests in exponential family nonlinear models |
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Authors: | Artur J. Lemonte |
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Affiliation: | Department of Statistics, University of São Paulo, Brazil |
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Abstract: | In this paper we obtain asymptotic expansions up to order n−1/2 for the nonnull distribution functions of the likelihood ratio, Wald, score and gradient test statistics in exponential family nonlinear models (Cordeiro and Paula, 1989), under a sequence of Pitman alternatives. The asymptotic distributions of all four statistics are obtained for testing a subset of regression parameters and for testing the dispersion parameter, thus generalising the results given in Cordeiro et al. (1994) and Ferrari et al. (1997). We also present Monte Carlo simulations in order to compare the finite-sample performance of these tests. |
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Keywords: | Asymptotic expansions Exponential family Gradient test Likelihood ratio test Local power Nonlinear model Score test Wald test |
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