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The Frisch–Waugh–Lovell theorem for standard errors

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  • Ding, Peng

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.

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  • Ding, Peng, 2021. "The Frisch–Waugh–Lovell theorem for standard errors," Statistics & Probability Letters, Elsevier, vol. 168(C).
    • Handle: RePEc:eee:stapro:v:168:y:2021:i:c:s0167715220302480
    DOI: 10.1016/j.spl.2020.108945
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    Cited by:

    1. Deepankar Basu, 2023. "The Yule-Frisch-Waugh-Lovell Theorem," Papers 2307.00369, arXiv.org.
    2. Deepankar Basu, 2023. "The Yule-Frisch-Waugh-Lovell Theorem for Linear Instrumental Variables Estimation," Papers 2307.12731, arXiv.org, revised Aug 2023.
    3. Peng Ding, 2022. "Peng Ding’s contribution to the Discussion of ‘Assumption‐lean inference for generalised linear model parameters’ by Vansteelandt and Dukes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 691-693, July.
    4. Zhao, Anqi & Ding, Peng, 2024. "No star is good news: A unified look at rerandomization based on p-values from covariate balance tests," Journal of Econometrics, Elsevier, vol. 241(1).
    5. Ding Peng, 2021. "Two seemingly paradoxical results in linear models: the variance inflation factor and the analysis of covariance," Journal of Causal Inference, De Gruyter, vol. 9(1), pages 1-8, January.

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