Central limit theorems for generalized -statistics with applications in nonparametric specification

Jiti Gao and Yongmiao Hong

Journal of Nonparametric Statistics, 2008, vol. 20, issue 1, 61-76

Abstract: In this paper, we establish some new central limit theorems for generalized U-statistics of dependent processes under some mild conditions. Such central limit theorems complement existing results available from both the econometrics literature and statistics literature. We then look at applications of the established results to a number of test problems in time series regression models.

Date: 2008
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/10485250801899596

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