Hypothesis testing in linear regression when k/n is large

DOI10.1016/J.JECONOM.2011.07.003zbMATH Open1441.62624OpenAlexW2096660345MaRDI QIDQ738075FDOQ738075

Gray Calhoun

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.07.003

zbMATH Keywords

ordinary least squares\(F\)-testdimension asymptotics

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• Robust regression: Asymptotics, conjectures and Monte Carlo
• A central limit theorem for generalized quadratic forms
• GMM inference when the number of moment conditions in large
• Testing overidentifying restrictions with many instruments and heteroskedasticity
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• GMM with Many Moment Conditions
• Consistent Estimation with a Large Number of Weak Instruments
• Central limit theorem for integrated square error of multivariate nonparametric density estimators
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• Asymptotic behavior of M-estimators of p regression parameters when \(p^ 2/n\) is large. I. Consistency
• Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations
• Testing with many weak instruments
• On M-processes and M-estimation
• Multivariate Statistics
• Asymptotic behavior of M estimators of p regression parameters when \(p^ 2/n\) is large. II: Normal approximation
• Asymptotic behavior of M-estimators for the linear model
• On parameters of increasing dimensions
• The ANOVA \(F\) test can still be used in some balanced designs with unequal variances and nonnormal data
• ANOVA and rank tests when the number of treatments is large
• The asymptotic distribution of the F‐test statistic for individual effects
• Asymptotics for Analysis of Variance When the Number of Levels is Large
• Asymptotic behavior of the empiric distribution of M-estimated residuals from a regression model with many parameters
• Empirical process of residuals for high-dimensional linear models
• Weak convergence of the empirical process of residuals in linear models with many parameters
• Heteroscedastic One-Way ANOVA and Lack-of-Fit Tests
• Inference in regression models with many regressors

Cited In (3)

• Residual bootstrap tests in linear models with many regressors
• Testing many restrictions under heteroskedasticity
• Robust inference on infinite and growing dimensional time-series regression

Uses Software

• R

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