Locally Most Powerful Test for the Random Coefficient Autoregressive Model

Table 5

Empirical powers of LMP and EL tests at nominal level 0.05 for model A2.

100	LMP	0.289	0.110	0.220	0.149	0.241	0.096	0.183	0.131
	EL	0.045	0.016	0.027	0.019	0.047	0.018	0.027	0.029
200	LMP	0.596	0.252	0.519	0.310	0.525	0.199	0.452	0.272
	EL	0.161	0.052	0.118	0.055	0.186	0.057	0.146	0.063
300	LMP	0.790	0.400	0.722	0.475	0.762	0.351	0.686	0.429
	EL	0.336	0.111	0.276	0.124	0.373	0.124	0.293	0.152
400	LMP	0.899	0.538	0.861	0.644	0.862	0.462	0.815	0.564
	EL	0.486	0.147	0.399	0.196	0.520	0.173	0.440	0.223
500	LMP	0.964	0.624	0.933	0.757	0.957	0.596	0.906	0.699
	EL	0.622	0.218	0.529	0.285	0.695	0.262	0.590	0.345
600	LMP	0.979	0.701	0.951	0.819	0.965	0.657	0.947	0.754
	EL	0.708	0.237	0.606	0.351	0.767	0.301	0.650	0.395
700	LMP	0.995	0.791	0.974	0.862	0.983	0.727	0.978	0.824
	EL	0.814	0.351	0.669	0.404	0.839	0.389	0.773	0.483
800	LMP	0.996	0.837	0.990	0.927	0.994	0.809	0.984	0.882
	EL	0.845	0.404	0.767	0.512	0.895	0.488	0.839	0.585
900	LMP	0.999	0.874	0.995	0.934	0.996	0.831	0.993	0.924
	EL	0.879	0.430	0.801	0.548	0.929	0.514	0.877	0.622
1000	LMP	1.000	0.936	1.000	0.971	1.000	0.889	0.996	0.951
	EL	0.913	0.515	0.887	0.626	0.946	0.601	0.930	0.706
5000	LMP	1.000	1.000	1.000	1.000	1.000	1.000	1.000	1.000
	EL	0.992	0.967	0.994	0.985	1.000	1.000	1.000	0.999