The Frisch--Waugh--Lovell Theorem for Standard Errors

Peng Ding

Abstract: The Frisch--Waugh--Lovell Theorem states the equivalence of the coefficients from the full and partial regressions. I further show the equivalence between various standard errors. Applying the new result to stratified experiments reveals the discrepancy between model-based and design-based standard errors.

Date: 2020-09
New Economics Papers: this item is included in nep-dcm and nep-ecm
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Published in Statistics and Probability Letters, 2020

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2009.06621

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