In this paper, we study the asymptotic normality in high-dimensional linear regression. We focus on case where covariance matrix of regression variables has a KMS structure, settings number predictors, p, is proportional to observations, n. The main result paper derivation exact distribution for suitably centered and normalized squared norm product between predictor matrix, X, outcome variable,...

In a recent paper Ahmad and Li (1996) proposed a new test for symmetry of the error distribution in linear regression models and proved asymptotic normality for the distribution of the corresponding test statistic under the null hypothesis and consistency under xed alternatives. The present paper has three purposes. On the one hand we derive the asymptotic distribution of the statistic consider...