Asymptotic Theory and Econometric Practice with Large Dimension of Parameters

Asymptotic Theory and Econometric Practice
Author(s): Roger Koenker
Source: Journal of Applied Econometrics, Vol. 3, No. 2 (Apr., 1988), pp. 139-147

Koenker addressed the issue of estimation of models with increasing dimensionality in parameters when the number of observations are increasing, which is first noticed by Huber,
Robust Regression: Asymptotics, Conjectures and Monte Carlo
Peter J. Huber
The Annals of Statistics, Vol. 1, No. 5 (Sep., 1973), pp. 799-821