Hypothesis testing for some time-series models: a power comparison

Following the general approach for constructing test statistics for stochastic models based on optimal estimating functions by Thavaneswaran (1991), a new test statistic via martingale estimating function is proposed. Applications to some time-series models such as random coefficient autoregressive (RCA) models are discussed. It is shown that the choice of an optimal estimating function according to Godambe's (1985) criterion leads to optimal power against a fixed alternative.