Dickey–Fuller Type of Tests against Nonlinear Dynamic Models*
提出几种检验统计量，用于检验随机游走（带或不带漂移）的原假设，备择假设为包含水平、动态结构和趋势的平滑非线性转变模型。推导了所有检验的极限分布，并与Phillips-Perron和Leybourne等人的单位根检验进行了功效比较。
Abstract In this paper, we introduce several test statistics testing the null hypothesis of a random walk (with or without drift) against models that accommodate a smooth nonlinear shift in the level, the dynamic structure and the trend. We derive analytical limiting distributions for all the tests. The power performance of the tests is compared with that of the unit‐root tests by Phillips and Perron [ Biometrika (1988), Vol. 75, pp. 335–346], and Leybourne, Newbold and Vougas [ Journal of Time Series Analysis (1998), Vol. 19, pp. 83–97]. In the presence of a gradual change in the deterministics and in the dynamics, our tests are superior in terms of power.