  We derive asymptotic expansions up to order $n^{-1/2}$ 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 it is shown that there
is no uniform superiority of one test with respect to the others for testing a
subset of regression parameters. 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.
