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

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.

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Year of publication:	2007-08
Authors:	Gao, Jiti ; Hong, Yongmiao
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Central limit theorem \| nonparametric specification \| quadratic form \| strict stationarity \| stochastic process

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Published in Journal of Nonparametric Statistics 1.20(2008): pp. 61-76
Classification:	C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005836931