Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing

Jiti Gao and Yongmiao Hong

MPRA Paper from University Library of Munich, Germany

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 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.

Keywords: Central limit theorem; nonparametric specification; quadratic form; strict stationarity; stochastic process (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2007-08, Revised 2007-12
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Citations: View citations in EconPapers (2)

Published in Journal of Nonparametric Statistics 1.20(2008): pp. 61-76

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:11977

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