Approximating the Non-Null Distribution of the Likelihood Ratio Test Statistic

This paper is concerned with investigation into the behavior of the likelihood ratio test statistic G² when the alternative hypothesis M (QQ) is the true model. Exact moments of G² are computed empirically and three approximations are considered for approximating the non-null distribution of G². Our results show that the two parameter gamma distribution provides a closer approximation to the exact powers of G². A randomized procedure was employed to obtain critical values based on 1000 simulated samples.