| Abstract: | 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. |
