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

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<jats:p>This article sheds light on the asymptotic behavior of diagonal elements of projection matrices associated with instruments or regressors under many instrument/regressor asymptotics. When the diagonal elements do not exhibit variation asymptotically, certain results in the many instrument/regressor literature lead to elegant solutions and conclusions. We establish conditions when this happens, provide relevant examples, and analyze instrument designs, for which this property does or does not hold.</jats:p>

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  • Econometric Theory

    Econometric Theory 33 (3), 717-738, 2016-07-28

    Cambridge University Press (CUP)

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