Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
416243 | Computational Statistics & Data Analysis | 2006 | 14 Pages |
We investigate the sizes of the bootstrap versions of the generalized likelihood ratio (GLR) test by Fan et al. [2001. Ann. Statist. 29, 153–193] and of the nonparametric model specification test by Li [1994. Discussion Paper No. 1994–1997, University of Guelph] and Zheng [1996. J. Econometrics 75, 263–289], henceforth the JnJn test for the drift function in some continuous time models. Fan and Zhang [2003. J. Amer. Statist. Assoc. 98, 118–134] argued that the bootstrap-based GLR test is a powerful testing method for model specification of several one-factor continuous time models. However, if the sizes of nonparametric specification tests are unstable over a range of bandwidth values, it is difficult to judge the power of the test. Our simulation study shows that in some standard finite sample situations the bootstrap-based GLR test does not provide stable sizes over a grid of bandwidth values in testing the drift function of some continuous time models, whereas such JnJn test usually does. Furthermore, we consider the wild bootstrap-based GLR test, inspired by the wild bootstrap approach used for the JnJn test. The conclusion is that the modified method does not show much improvement on the stable sizes.