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
- Ragnar Frisch; Frederick V. Waugh "Partial Time Regressions as Compared with Individual Trends"
Econometrica, Vol. 1, No. 4. (Oct., 1933), pp. 387-401.
- Lovell, M., 1963, Seasonal adjustment of economic time series, Journal of the American Statistical Association, 58, 993-1010.