ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS

By Jiti Gao, Maxwell L. King. Econometric Theory, 2004

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Empirical comparisons in short-term interest rate models using nonparametric methods (2006, background): “Existing tests similar to Equation (33) have been proposed and studied extensively in the field of model specification for discrete time-series models as in Zheng (1996), Li and Wang (1998), Li (1999), Gao and King (2005), and others.”
An updated review of Goodness-of-Fit tests for regression models (2013, background): “Tests for marginal density functions have been also studied by Gao and King (2004) and Hong and Li (2005), involving kernel estimators, as well as Arapis and Gao (2006) and the Bickel and Rosenblatt test was adapted by Lee (2006) for diffusion processes.”
Specification testing in nonlinear and nonstationary time series autoregression (2009, methodology): “Compared with MT (h) below, our experience with the stationary case also shows that a test statistic based on NT (h) has less attractive properties than those based on MT (h) below [see, e.g., Li (1999), Gao and King (2004) and Chapter 3 of Gao (2007)].”
NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY (2009, unknown): “In order to avoid introducing biases associated with nonparametric kernel estimation (Gao and King, 2004), we use a smoothed version of the parametric estimator in the construction.”