Question: Partial Frisch and Waugh in the least squares regression of y on a constant and X, to compute the regression coefficients on X, we can

Partial Frisch and Waugh in the least squares regression of y on a constant and X, to compute the regression coefficients on X, we can first transform y to deviations from the mean y and, likewise, transform each column of X to deviations from the respective column mean; second, regress the transformed y on the transformed X without a constant. Do we get the same result if we only transform y? What if we only transform X?

Step by Step Solution

3.45 Rating (165 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock

In the least squares regression of y on a constant and X in order to compute the regression coeffici... View full answer

blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Document Format (1 attachment)

Word file Icon

3-M-E-E-A (4).docx

120 KBs Word File

Students Have Also Explored These Related Econometric Questions!