APPROXIMATE POWER OF HETEROSCEDASTICITY TEST IN NONLINEAR MODELS WITH ARIMA(0, 1, 0) ERRORS

摘要

This paper presents an approach for estimating power of the score test, based on an asymptotic approximation to the power of the score test under contiguous alternatives. The method is applied to the problem of power calculations for the score test of heteroscedasticity in European rabbit data (Ratkowsky, 1983). Simulation studies are presented which indicate that the asymptotic approximation to the finite-sample situation is good over a wide range of parameter configurations.