A new form of the information matrix test is developed for a wide variety of statistical models. The test is constructed against an explicit alternative with random parameter variation. It is computed using a double-length artificial regression instead of the more conventional...

The local power of test statistics is analyzed by considering sequences of data-generating processes (DGPs) that approach the null hypothesis without necessarily satisfying the alternative. The three classical test statistics-LR, Wald, and LM-are shown to tend asymptot ically to the same random...