FWL theorem

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In econometrics, the FWL theorem (Frisch-Waugh-Lovell theorem) is named after the econometricians Ragnar Anton Kittil Frisch, F. Waugh, and M. Lovell.

The theorem states that the determination of the coefficients in a standard regression model via ordinary least squares and a method involving projection matrices are equivalent.

[edit] Literature

  • Frisch, R. and Waugh, F., 1933, Partial time regressions as compared with individual trends, Econometrica, 45, 939-53.
  • Lovell, M., 1963, Seasonal adjustment of economic time series, Journal of the American Statistical Association, 58, 993-1010.
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