ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
研究了当工具变量或回归变量数量很多时，投影矩阵对角元素的渐近行为，给出了对角元素无渐近变化的条件和例子，并分析了工具变量设计是否满足该性质。
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 does or does not hold.