JSM 2005 Online Program

Abstract #303357

This is the preliminary program for the 2005 Joint Statistical Meetings in Minneapolis, Minnesota. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2005); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

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Activity Number:	101
Type:	Contributed
Date/Time:	Monday, August 8, 2005 : 8:30 AM to 10:20 AM
Sponsor:	Business and Economics Statistics Section
Abstract - #303357
Title:	Sizes of Two Bootstrap-based Nonparametric Specification Tests for the Drift Function in Continuous Time Models
Author(s):	Myung Suk Kim*+ and Suojin Wang
Companies:	Texas A&M University and Texas A&M University
Address:	1 Hensel Dr, College Station, TX, 77840, United States
Keywords:	Bandwidth ; Drift Function ; Generalized Likelihood Ratio Test ; Nonparametric Model Specification Test ; Wild Bootstrap Method
Abstract:	We investigate sizes of the bootstrap versions of the generalized likelihood ratio (GLR) test by Fan, Zhang, and Zhang (2001) and of the nonparametric model specification test by Li (1994) and Zheng (1996). Henceforth, the $J_n$ test for the drift function in some continuous time models. Fan and Zhang (2003) claimed the bootstrap-based GLR test is a powerful testing method for the 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 Jn test usually does. Furthermore, we consider the wild bootstrap-based GLR test, inspired by the wild bootstrap approach used for the Jn test. The conclusion is that the modified method does not show much improvement on the stable sizes.

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