Normal approximation for U-statistics with cross-sectional dependence
Abstract
We establish normal approximation in the Wasserstein metric for both non-degenerate and degenerate second-order U-statistics under cross-sectional dependence using Stein's method. For the non-degenerate case, our results extend recent studies on the asymptotic properties of sums of cross-sectionally dependent random variables. The degenerate case is more challenging due to the additional dependence induced by the nonlinearity of the U-statistic kernel. Through a specific implementation of Stein's method, we derive convergence rates under conditions on the mixing rate, the sparsity of the cross-sectional dependence structure, and the moments of the U-statistic kernel. Finally, we demonstrate the application of our theoretical results with a nonparametric specification test for data with cross-sectional dependence.
Fields of Study & Subjects
Statistical Methods and Inference
Advanced Statistical Methods and Models
Publication details
- Journal / source
- Journal of Econometrics
- Publisher
- Elsevier BV
- Volume
- 258
- Pages
- 106325–106325
- Publication date
- 4 September 2026
- Language
- EN