The frisch-waugh theorem and generalized least squares

DOI10.1080/07474939608800365zbMath0885.62079MaRDI QIDQ4355155

Walter Kramer, Denzil G. Fiebig, Robert Bartels

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 squares; Frisch-Waugh theorem; equivalence of estimators

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

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Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated, Estimation under a general partitioned linear model

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