The Power of Some Tests for Difference Stationarity under Local Heteroscedastic Integration
研究了McCabe和Tremayne检验在局部异方差和局部爆炸性自回归备择假设下的极限分布与检验功效，发现该检验对两种非平稳备择均有渐近功效，而Dickey-Fuller检验在局部异方差整合下几乎无法拒绝差分平稳性。
Abstract This article considers the power properties of the McCabe and Tremayne (MT) test for the difference stationarity of a time series. The limiting distribution of the MT test is derived under sequences of locally heteroscedastic and locally explosive autoregressive (AR) alternatives. The limiting distribution of Dickey–Fuller (DF) statistics is also considered under a sequence of locally heteroscedastic alternatives. Whereas the MT test possesses asymptotic power against both forms of nonstationary local alternative, the DF tests set up to test against explosive AR alternatives display little or no ability to reject difference stationarity under local heteroscedastic integration.