tag:blogger.com,1999:blog-2198942534740642384.post3662203090556362409..comments2023-10-24T03:16:41.009-07:00Comments on Econometrics Beat: Dave Giles' Blog: Instrumental Variables & the Frisch-Waugh-Lovell TheoremDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-2198942534740642384.post-21137295318737882962018-07-13T05:12:18.660-07:002018-07-13T05:12:18.660-07:00Yes - it holds equally in the over-identified case...Yes - it holds equally in the over-identified case. I have a proof but I haven't had a chance to post it on the blog. I'll try to get to it at some stage.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-52956535389895022692018-06-20T07:38:24.670-07:002018-06-20T07:38:24.670-07:00I prof. Giles. Have you thought about the extensio...I prof. Giles. Have you thought about the extension of the theorem to the over-identified case? I would be very interested (or if you could point to some ressources on the topic). Thanks a lot.Nicolasnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-20846190443493422062017-06-25T17:16:17.534-07:002017-06-25T17:16:17.534-07:00Thanks Andy - 2 typos. Now fixed. DGThanks Andy - 2 typos. Now fixed. DGDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-90974661871386449502017-06-25T17:13:03.103-07:002017-06-25T17:13:03.103-07:00I could be wrong, but intuitively I think in the f...I could be wrong, but intuitively I think in the first (ii) above it should be regressing e* on E_1*, and therefore it should be e* in the equation for beta* (instead of y*). My intuition comes from the case where X_2 is uncorrelated with y but X_1 is correlated with y. In that case, y* is zero in expectation, but b is nonzero in expectation.andy whttps://www.blogger.com/profile/16722693090673844654noreply@blogger.com