A Frisch-Waugh-Lovell-type theorem for GMM using oblique projections

2025/12/16 by Basu, Deepankar
Economics, Econometrics and Finance · Mathematics · #Advanced Statistical Methods and Models #Monetary Policy and Economic Impact #Statistical Methods and Bayesian Inference

paper · doi:10.7275/hwyj-a059

openalex publication_date 2025/12/16 · openalex created_date 2025/12/17 · openalex updated_date 2026/07/15

Abstract

I derive a Frisch-Waugh-Lovell (FWL) theorem for GMM estimators in regression models with significant nonlinearities using oblique projection matrices.

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