The Amiti-Weinstein estimator: An equivalence result

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• 作者：Joris Tielens^a ; ^{joris.tielens@kuleuven.be} ; Jan Van Hove^a ; ^b
• 关键词：E51 ; C58
• 刊名：Economics Letters
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：151
• 期：Complete
• 页码：19-22
• 全文大小：409 K
• 卷排序：151

文摘

Amiti and Weinstein (2013) propose a framework to estimate bank supply shocks. We prove equivalence of the proposed estimator with weighted least squares (WLS). The proof relies on the Frisch and Waugh theorem. This insight is useful as most statistical software packages have a WLS routine. We argue that the estimator can be used in other research venues as well.