ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
多工具变量或多回归变量下投影矩阵对角元素的渐近性质
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…