摘要翻译:
Frisch-Waugh-Lovell定理证明了完全回归和部分回归系数的等价性。我进一步说明了各种标准误差之间的等价性。将新结果应用于分层实验,揭示了基于模型和基于设计的标准误差之间的差异。
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英文标题:
《The Frisch--Waugh--Lovell Theorem for Standard Errors》
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作者:
Peng Ding
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最新提交年份:
2020
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分类信息:
一级分类:Mathematics 数学
二级分类:Statistics Theory 统计理论
分类描述:Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计:例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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一级分类:Statistics 统计学
二级分类:Methodology 方法论
分类描述:Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计,调查,模型选择,多重检验,多元方法,信号和图像处理,时间序列,平滑,空间统计,生存分析,非参数和半参数方法
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一级分类:Statistics 统计学
二级分类:Statistics Theory 统计理论
分类描述:stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近,贝叶斯推论,决策理论,估计,基础,推论,检验。
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英文摘要:
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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PDF链接:
https://arxiv.org/pdf/2009.06621