Local power and size properties of the LR, Wald, score and gradient tests in dispersion models

We derive asymptotic expansions for the nonnull distribution functions of the likelihood ratio, Wald, score and gradient test statistics in the class of dispersion models, under a sequence of Pitman alternatives. The asymptotic distributions of these statistics are obtained for testing a subset of regression parameters and for testing the precision parameter. Based on these nonnull asymptotic expansions, the power of all four tests, which are equivalent to first order, are compared. Furthermore, in order to compare the finite-sample performance of these tests in this class of models, Monte Carlo simulations are presented. An empirical application to a real data set is considered for illustrative purposes.