The LLN and CLT for U-statistics under cross-sectional dependence

Yiguo Sun

Journal of Nonparametric Statistics, 2020, vol. 32, issue 1, 201-224

Abstract: In this paper we establish the law of large numbers (LLN) and central limit theorem (CLT) for second-order kernel-weighted U-statistics of cross-sectionally dependent variables. To illustrate the usefulness of our theorems, we apply the new LLN and CLT to nonparametric model misspecification testing in spatial regression framework. Monte Carlo simulations are used to assess the finite sample performance of our test statistic.

Date: 2020
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DOI: 10.1080/10485252.2019.1711378

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