  The Birnbaum-Saunders distribution has been used quite effectively to model
times to failure for materials subject to fatigue and for modeling lifetime
data. In this paper we obtain asymptotic expansions, up to order $n^{-1/2}$ and
under a sequence of Pitman alternatives, for the nonnull distribution functions
of the likelihood ratio, Wald, score and gradient test statistics in the
Birnbaum-Saunders regression model. The asymptotic distributions of all four
statistics are obtained for testing a subset of regression parameters and for
testing the shape parameter. Monte Carlo simulation is presented in order to
compare the finite-sample performance of these tests. We also present an
empirical application.
