Alternative Asymptotics and the Partially Linear Model with Many Regressors

Abstract: 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".