Cappuccio, Nunzio; Lubian, Diego - In: Journal of Time Series Analysis 27 (2006) 3, pp. 323-345
In this paper, we study the asymptotic behaviour of several test statistics of the null hypothesis of stationarity under a sequence of local alternatives. The sequence of local alternatives is modelled as a nearly stationary process, i.e. a non-stationary process in any finite sample which...
