In this paper, expansions of functionals of Lévy processes are established under some Hilbert spaces and their orthogonal bases. From practical standpoint, both time-homogeneous and time-inhomogeneous functionals of Lévy processes are considered. Several expansions and rates of convergence are established. In order to state asymptotic distributions for statistical estimators of unknown parameters involved in a general regression model, we develop a general asymptotic theory for partial sums of functionals of Lévy processes. The results show that these estimators of the unknown parameters in different situations converge to quite different random variables. In addition, the rates of convergence depend on various factors rather than just the sample size.