The Amiti-Weinstein estimator: An equivalence result

•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.

Amiti and Weinstein (2013) develop a new methodology to identify bank-supply shocks using matched bank-firm credit data. We show, using the Frisch-Waugh theorem, that their methodology is equivalent to a weighted least squares regression and suggest applicability in other research areas.