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

Deepankar Basu

Statistics & Probability Letters, 2024, vol. 213, issue C

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.

Keywords: Frisch–Waugh–Lovell theorem; k-class of estimators; Linear two-step optimal GMM estimator (search for similar items in EconPapers)
JEL-codes: C26 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110188

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