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

DOI10.1016/J.SPL.2024.110188MaRDI QIDQ6589429zbMATH OpenFDO

Authors Deepankar Basu

Publication date 19 August 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Frisch-Waugh-Lovell theoremk-class of estimatorslinear two-step optimal GMM estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

• Automatic Lag Selection in Covariance Matrix Estimation
• Cluster-robust inference: a guide to empirical practice
• Foundations of linear and generalized linear models
• Instrumental Variables Regression with Weak Instruments
• Instrumental variables regressions involving seasonal data
• On the theory of correlation for any number of variables, treated by a new system of notation.
• Partial time regressions as compared with individual trends.
• Quasi-experimental shift-share research designs
• Seasonal Adjustment of Economic Time Series and Multiple Regression Analysis
• The Frisch-Waugh-Lovell theorem for standard errors

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