Normal approximation for U-statistics with cross-sectional dependence

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Authors: Weiguang Liu
Cited by: 0
References: 53

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