Dept. of Math. Southeast Univ. Nanjing 210096 China;
Dept. of Math. Jiangsu Institute of Education Nanjing 210013 China;
Dept. of Math. Zhejiang Univ. Hangzhou 310027 China;
ARIMA(0; 1; 0) errors; asymptotic approximation; heteroscedasticity; local power; nonlinear model; score test;