Matias D. Cattaneo, Michael Jansson, Whitney K. Newey
arXiv 28 May 2015 · Mathematics — Statistics Theory · publishedEconometric Theory (2016) · 44 citations (OpenAlex)
arXiv:1505.08120 · PDF · DOI · OpenAlex · Extracted main text
Non-standard distributional approximations have received considerable attention in recent years. They often provide more accurate approximations in small samples, and theoretical improvements in some cases. This paper shows that the seemingly unrelated "many instruments asymptotics" and "small bandwidth asymptotics" share a common structure, where the object determining the limiting distribution is a V-statistic with a remainder that is an asymptotically normal degenerate U-statistic. We illustrate how this general structure can be used to derive new results by obtaining a new asymptotic distribution of a series estimator of the partially linear model when the number of terms in the series approximation possibly grows as fast as the sample size, which we call "many terms asymptotics".
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Cattaneo, Crump, and Jansson (2014) Small Bandwidth Asymptotics for Density-Weighted Average Derivatives self | 0.811 | 4 | 2 | 100% |
| 2 | Chao, Swanson, Hausman, Newey, and Woutersen (2012) Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments | 0.737 | 5 | 2 | 60% |
| 3 | Donald and Newey (1994) Series Estimation of Semilinear Models | 0.737 | 3 | 2 | 100% |
| 4 | Hansen, Hausman, and Newey (2008) Estimation with Many Instrumental Variables self | 0.737 | 3 | 2 | 100% |
| 5 | Powell, Stock, and Stoker (1989) Semiparametric Estimation of Index Coefficients | 0.511 | 2 | 1 | 100% |
| 6 | van der Vaart (1998) Asymptotic Statistics | 0.511 | 2 | 1 | 100% |
| 7 | Angrist, Imbens, and Krueger (1999) Jackknife Instrumental Variables Estimation | 0.405 | 1 | 1 | 100% |
| 8 | Atchadé and Cattaneo (2014) A Martingale Decomposition for Quadratic Forms of Markov Chains (with Applications) | 0.405 | 1 | 1 | 100% |
| 9 | Bekker (1994) Alternative Approximations to the Distributions of Instrumental Variables Estimators | 0.405 | 1 | 1 | 100% |
| 10 | Belloni, Chernozhukov, Chetverikov, and Kato (2015) Some New Asymptotic Theory for Least Squares Series: Pointwise and Uniform Results | 0.405 | 1 | 1 | 100% |
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arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.