The Frisch-Waugh-Lovell theorem is a result in statistics and econometrics stating that the coefficient estimate for any given explanatory variable in an ordinary least squares multiple regression depends only on the portion of that variable's variation left unexplained by the other explanatory variables. It is named for the econometricians Ragnar Frisch, Frederick V. Waugh, and Michael C. Lovell, and it underlies the common practice of removing the effect of control variables before examining the relationship of interest.
Facts
Statementeach explanatory variable's coefficient reflects the relationship between the dependent variable and the part of that explanatory variable which is not linearly related to the other explanatory variables 1 Classification
Statement FormCharacterization Theorem 1 Sources
1. Frisch-Waugh-Lovell theorem - Wikipedia
IntroductionQuote, Introduction
each explanatory variable's coefficient reflects the relationship between the dependent variable and the part of that explanatory variable which is not linearly related to the other explanatory variables
2. Frisch-Waugh-Lovell theorem (Wikipedia)
It was not popularized in economics until a 1933 paper by Ragnar Frisch and Frederick Waugh in the first volume of EconometricaView the Source Reader Challenges (0)
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