[Gretl-devel] Re: Regression with many dummies (RFC)
On 18/10/2025 14:49, Sven Schreiber wrote:
Jack mentioned that the approach is a generalization of fixed-effects
regression, and that the foundation is through the Frisch-Waugh-Lovell
theorem. So I wonder whether one should go one step further and also
attempt to cover non-qualitative control variables.
The speed advantage you get in this case with the Frisch-Waugh approach
is linked to the additional regressors being a set of exclusive dummies.
I doubt that there is anything better than the QR approach (that we
already use) for generic control variables, but of course I may be wrong.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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