Central limit theorem for degenerate U-statistics of absolutely regular processes with applications to model specification testing

被引：92

作者：

Fan, YQ ^{[1
]}

Li, Q

机构：

[1] Univ Windsor, Dept Econ, Windsor, ON N9B 3P4, Canada

[2] Univ Guelph, Dept Econ, Guelph, ON N1G 2W1, Canada

来源：

JOURNAL OF NONPARAMETRIC STATISTICS | 1999年 / 10卷 / 03期

基金：

加拿大自然科学与工程研究理事会;

关键词：

degenerate U-statistics; central limit theorem; absolutely regular process; model specification test;

D O I：

10.1080/10485259908832762

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Under quite general conditions we establish a central limit theorem for second order degenerate U-statistics of absolutely regular processes. The new central limit theorem is then used to establish the validity of an asymptotic test for the parametric functional form of a general regression model involving time series.

引用

页码：245 / 271

页数：27

共 28 条

[1] CONSISTENT MODEL-SPECIFICATION TESTS [J].