Empirical comparisons in short-term interest rate models using nonparametric methods

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Bandwidth Selection in Nonparametric Kernel Testing (2008, methodology): “As pointed out by Arapis and Gao (2006), ˜Tn(h) is independent of the structure of the conditional variance σ 2(·).”
An updated review of Goodness-of-Fit tests for regression models (2013, methodology): “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. GoF tests for the drift coefficient were stud”
Specification testing in nonlinear and nonstationary time series autoregression (2009, background): “−1)/h)ub2t (2.5) = PT t=2 Pt−1 s=1 usK(( Pt−1 j=s+1 uj +us)/h)ut qP T t=2 Pt−1 s=1 u 2 sK2(( Pt−1 j=s+1 uj +u)/h)u 2 t +oP(1). In comparison with existing forms for the stationary case [e.g., (34) of Arapis and Gao (2006)], establishing an asymptotic distribution for LbT(h) becomes nonstandard mainl”