ABSTRACT
Inalltheabovesimulations,weassumethat{e,}areiidrandomvectors, andeachdistributednormallywithmeanJ.1 1=(0,0)andvariancecovariancematrix
InevaluatingEq.(7.7),wehavetochoosesometruncationpointwhen summingoverq;andthisdependsontherateofdecayof(ij(q).Wehave chosenheretruncationpointas20,i.e.(,ii(q),-20:s;q:s;20.·
InTable2,wegivethepercentageoftimesthenullhypothesishasbeen acceptedineachcasewhenthetestswereapplied.Weseefromtheresultsin Table2,thattheprobabilityofrejectingthenullhypothesiswhenthealternativeistrueisincreasingasthesamplesizeisincreasing.Wehavealso appliedtheaboveteststorealdata,andtheresultsweredescribedinthe paperbySubbaRaoandWong(1998).
