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Frisch–Waugh–Lovell theorem-type results for the k-Class and 2SGMM estimators

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  • Basu, Deepankar

Abstract

The Frisch–Waugh–Lovell (FWL) theorem shows that for the least squares estimator, parameter estimates from full and partial models are identically same. I show that in linear regression models with a mix of exogenous and endogenous regressors, FWL theorem-type results hold for the k-class estimators (including LIML) and the two-step optimal GMM estimator.

Suggested Citation

  • Basu, Deepankar, 2024. "Frisch–Waugh–Lovell theorem-type results for the k-Class and 2SGMM estimators," Statistics & Probability Letters, Elsevier, vol. 213(C).
    • Handle: RePEc:eee:stapro:v:213:y:2024:i:c:s0167715224001573
    DOI: 10.1016/j.spl.2024.110188
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    References listed on IDEAS

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    6. Ding, Peng, 2021. "The Frisch–Waugh–Lovell theorem for standard errors," Statistics & Probability Letters, Elsevier, vol. 168(C).
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    Keywords

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    JEL classification:

    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation

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