Normal approximation for U-statistics with cross-sectional dependence
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.
Authors
- Weiguang Liu
Publication Details
- Journal
- Journal of Econometrics
- Published
- 2026-09-04
- DOI
- https://doi.org/10.1016/j.jeconom.2026.106325
- Primary Topic
- Statistical Methods and Inference
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- UK Research and Innovation