Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing
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Cited by:
- Guido M. Kuersteiner & Ingmar R. Prucha, 2020.
"Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity,"
Econometrica, Econometric Society, vol. 88(5), pages 2109-2146, September.
- Guido M. Kuersteiner & Ingmar R. Prucha, 2015. "Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity," CESifo Working Paper Series 5445, CESifo.
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More about this item
Keywords
Central limit theorem; nonparametric specification; quadratic form; strict stationarity; stochastic process;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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