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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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
11977.
Length: Date of creation: Aug 2007 Date of revision:
Dec 2007 Publication status: Published in Journal of Nonparametric Statistics 1.20(2008): pp. 61-76 Handle: RePEc:pra:mprapa:11977
Find related papers by JEL classification: C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
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