Central limit theorem for degenerate U -Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
Yanqin Fan, Qi Li · Journal of nonparametric statistics · 1999
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.