The Frisch–Waugh–Lovell Theorem for Standard Errors

09/14/2020

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by   Peng Ding, et al.

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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.