ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS

DOI10.1017/S0266466616000165zbMath1441.62583MaRDI QIDQ5349013

Stanislav Anatolyev, Pavel Yaskov

Publication date: 22 August 2017

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (9)

On the Spectrum of Sample Covariance Matrices for Time Series ⋮ Joint inference based on Stein-type averaging estimators in the linear regression model ⋮ Fluctuations of the diagonal entries of a large sample precision matrix ⋮ On Sufficient Conditions in the Marchenko--Pastur Theorem ⋮ Residual bootstrap tests in linear models with many regressors ⋮ On bootstrap validity for specification testing with many weak instruments ⋮ LLN for quadratic forms of long memory time series and its applications in random matrix theory ⋮ INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS ⋮ Likelihood ratio tests under model misspecification in high dimensions

Cites Work

• Unnamed Item
• Unnamed Item
• Controlling the least eigenvalue of a random Gram matrix
• Log-concavity and strong log-concavity: a review
• Inference in regression models with many regressors
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments
• Hahn-Hausman test as a specification test
• Spectral analysis of large dimensional random matrices
• Convex set functions in d-space
• An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity
• Jackknife instrumental variable estimation with heteroskedasticity
• Log-concave probability and its applications
• Lower bounds on the smallest eigenvalue of a sample covariance matrix.
• SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS
• MANY INSTRUMENTS ASYMPTOTIC APPROXIMATIONS UNDER NONNORMAL ERROR DISTRIBUTIONS
• A Review on the Inverse of Symmetric Tridiagonal and Block Tridiagonal Matrices
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
• Instrumental variable estimation with heteroskedasticity and many instruments
• Instrumental variables estimation and inference in the presence of many exogenous regressors
• Instrumental variable estimation based on grouped data
• A Short Proof of Paouris' Inequality
• Adjustment of an Inverse Matrix Corresponding to a Change in One Element of a Given Matrix
• Bootstrap inference for instrumental variable models with many weak instruments

This page was built for publication: ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS