  We investigate the asymptotic distributions of coordinates of regression
M-estimates in the moderate $p/n$ regime, where the number of covariates $p$
grows proportionally with the sample size $n$. Under appropriate regularity
conditions, we establish the coordinate-wise asymptotic normality of regression
M-estimates assuming a fixed-design matrix. Our proof is based on the
second-order Poincar\'{e} inequality (Chatterjee, 2009) and leave-one-out
analysis (El Karoui et al., 2011). Some relevant examples are indicated to show
that our regularity conditions are satisfied by a broad class of design
matrices. We also show a counterexample, namely the ANOVA-type design, to
emphasize that the technical assumptions are not just artifacts of the proof.
Finally, the numerical experiments confirm and complement our theoretical
results.
