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.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.
------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti@univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------