The frisch-waugh theorem and generalized least squares

DOI10.1080/07474939608800365MaRDI QIDQ4355155zbMATH OpenOpenAlexFDO

Authors Denzil G. Fiebig, Robert Bartels, Walter Krämer

Publication date 29 April 1998

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939608800365

zbMATH Keywords

generalized least squaresFrisch-Waugh theoremequivalence of estimators

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

Recommendations

• scientific article; zbMATH DE number 1484813
• Extensions of the Frisch-Waugh-Lovell theorem
• Generalized least squares with misspecified serial correlation structures

Cites work

• Efficiency of Least-Squares Estimation of Linear Trend when Residuals Are Autocorrelated
• Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance
• Instrumental variables regressions involving seasonal data
• Linear Statistical Inference and its Applications
• Note on Estimating Linear Trend when Residuals are Autocorrelated
• Optimal Experimental Design for Error Components Models
• Properties of ordinary least squares estimators in regression models with nonspherical disturbances
• Seasonal Adjustment of Economic Time Series and Multiple Regression Analysis
• Serial Correlation and the Fixed Effects Model
• When are Gauss-Markov and Least Squares Estimators Identical? A Coordinate-Free Approach

Cited in

(12)

• The Frisch-Waugh-Lovell theorem for standard errors
• Extensions of the Frisch-Waugh-Lovell theorem
• The Frisch-Waugh-Lovell theorem for the Lasso and the ridge regression
• Concentration ellipsoids, their planes of support, and the linear regression model
• Estimation under a general partitioned linear model
• scientific article; zbMATH DE number 1484813 (Why is no real title available?)
• On the Use of GLS Demeaning in Panel Unit Root Testing
• Linear estimation with regressor decomposition
• A note on Cohen's \(d\) from a partitioned linear regression model
• On additive and block decompositions of WLSEs under a multiple partitioned regression model
• On relations between weighted least-squares estimators of parametric functions under a general partitioned linear model and its small models
• Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated

This page was built for publication: The frisch-waugh theorem and generalized least squares

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4355155)