Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing
AbstractIn 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 11977.
Date of creation: Aug 2007
Date of revision: Dec 2007
Publication status: Published in Journal of Nonparametric Statistics 1.20(2008): pp. 61-76
Central limit theorem; nonparametric specification; quadratic form; strict stationarity; stochastic process;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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