The Frisch--Waugh--Lovell Theorem for Standard Errors
Statistics Theory
2020-09-15 v1 Econometrics
Methodology
Statistics Theory
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.
Cite
@article{arxiv.2009.06621,
title = {The Frisch--Waugh--Lovell Theorem for Standard Errors},
author = {Peng Ding},
journal= {arXiv preprint arXiv:2009.06621},
year = {2020}
}