The frisch-waugh theorem and generalized least squares

DOI10.1080/07474939608800365zbMATH Open0885.62079OpenAlexW1986340853MaRDI QIDQ4355155FDOQ4355155

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

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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)

Cites Work

• Linear Statistical Inference and its Applications
• Serial Correlation and the Fixed Effects Model
• When are Gauss-Markov and Least Squares Estimators Identical? A Coordinate-Free Approach
• Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance
• Instrumental variables regressions involving seasonal data
• Seasonal Adjustment of Economic Time Series and Multiple Regression Analysis
• Efficiency of Least-Squares Estimation of Linear Trend when Residuals Are Autocorrelated
• 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

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
• Title not available (Why is that?)
• On the Use of GLS Demeaning in Panel Unit Root Testing
• A note on Cohen's \(d\) from a partitioned linear regression model
• Linear estimation with regressor decomposition
• 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

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