“…In the field of continuous-time model specification, some closely related studies include Aït-Sahalia (1996a), who proposes a simple methodology for testing whether the marginal density function of {r t } belongs to a parametric family of density functions; Corradi and White (1999), who establish an asymptotically normal test for the diffusion function; Fan and Zhang (2003), who propose a simultaneous test procedure for the specification of both the drift and diffusion functions; Gao and King (2004), who propose an improved test for a parametric specification of the marginal density function; Kristensen (2004), in which a semiparametric diffusion model is considered and tested; Corradi and Swanson (2005), who propose using a bootstrap specification test; Hong and Li (2005), who establish an asymptotically consistent test for specifying the transitional density function of {r t } parametrically; Arapis and Gao (2006), who consider testing for a parametric specification of the drift function; Chen, Gao and Tang (2008), who develop an empirical likelihood method to establish an adaptive test for the parametric specification of the transitional density function; and Li (2007), who discusses a nonparametric test for the parametric specification of the diffusion function in a diffusion process.…”