FWL theorem

From Wikipedia, the free encyclopedia

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, 1 (4) (Oct., 1933), pp. 387-401.

• Lovell, M., 1963, Seasonal adjustment of economic time series, Journal of the American Statistical Association, 58, pp. 993-1010.