FWL theorem

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.

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.