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Frisch–Waugh–Lovell theorem

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By 1933, Yule's findings were generally recognized, thanks in part to the detailed discussion of partial correlation and the introduction of his innovative notation in 1907. The theorem, later associated with Frisch, Waugh, and Lovell, was also included in chapter 10 of Yule's successful statistics
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In a 1931 paper co-authored with Mudgett, Frisch cited Yule's results. Yule's formulas for partial regressions were quoted and explicitly attributed to him in order to rectify a misquotation by another author. Although Yule was not explicitly mentioned in the 1933 paper by Frisch and Waugh, they
968:'s comprehensive analysis of partial regressions, published in 1907, included the theorem in section 9 on page 184. Yule emphasized the theorem's importance for understanding multiple and partial regression and correlation coefficients, as mentioned in section 10 of the same paper. 952:
is unnecessary when the predictor variables are uncorrelated: using projection matrices to make the explanatory variables orthogonal to each other will lead to the same results as running the regression with all non-orthogonal explanators included.
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In 1963, Lovell published a proof considered more straightforward and intuitive. In recognition, people generally add his name to the theorem name.
1982: 1400: 915:. This is the basis for understanding the contribution of each single variable to a multivariate regression (see, for instance, Ch. 13 in ). 440: 1517: 964:
The origin of the theorem is uncertain, but it was well-established in the realm of linear regression before the Frisch and Waugh paper.
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utilized the notation for partial regression coefficients initially introduced by Yule in 1907, which was widely accepted by 1933.
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Frisch, Ragnar; Waugh, Frederick V. (1933). "Partial Time Regressions as Compared with Individual Trends".
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Lovell, M. (1963). "Seasonal Adjustment of Economic Time Series and Multiple Regression Analysis".
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Lovell, M. (1963). "Seasonal Adjustment of Economic Time Series and Multiple Regression Analysis".
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Moreover, the standard errors from the partial regression equal those from the full regression.
820: 259: 212: 185: 1199:"On the Theory of Correlation for any Number of Variables, Treated by a New System of Notation" 921: 395: 1977: 1704: 1614: 1605: 1438: 1432: 1417: 1396: 1377: 1359: 1355: 1332: 1136: 1109: 435: 43: 36: 1411: 1326: 1103: 1673: 1540: 1385: 1347: 1303: 1274: 1218: 1210: 1130: 1073: 1044: 1007: 965: 766: 679: 154: 127: 1956: 1862: 1798: 1803: 46:
we are concerned with is expressed in terms of two separate sets of predictor variables:
1451: 1900: 891: 864: 793: 736: 239: 2047: 1972: 1502: 1482: 1373: 1348: 1239: 1099: 1085: 28: 659:{\displaystyle M_{X_{1}}=I-X_{1}(X_{1}^{\mathsf {T}}X_{1})^{-1}X_{1}^{\mathsf {T}},} 1307: 1278: 1223: 1048: 998: 716: 20: 1393:
The Elements of Statistical Learning : Data Mining, Inference, and Prediction
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textbook, first published in 1911. The book reached its tenth edition by 1932.
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will be the same as the estimate of it from a modified regression of the form:
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The theorem also implies that the secondary regression used for obtaining
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The most relevant consequence of the theorem is that the parameters in
517:{\displaystyle X_{1}(X_{1}^{\mathsf {T}}X_{1})^{-1}X_{1}^{\mathsf {T}}} 1011: 669:
and this particular orthogonal projection matrix is known as the
1455: 382:{\displaystyle M_{X_{1}}Y=M_{X_{1}}X_{2}\beta _{2}+M_{X_{1}}u,} 1158:
Data Analysis and Regression a Second Course in Statistics
1260:"Statistical Correlation and the Theory of Cluster Types" 1108:. Princeton: Princeton University Press. pp. 18–19. 1241:
An Introduction to the Theory of Statistics 10th edition
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Lovell, M. (2008). "A Simple Proof of the FWL Theorem".
1386:"Multiple Regression from Simple Univariate Regression" 1173:"The Frisch--Waugh--Lovell theorem for standard errors" 894: 867: 823: 796: 769: 739: 719: 682: 1416:. New York: Oxford University Press. pp. 54–60. 1331:. New York: Oxford University Press. pp. 19–24. 924: 556: 443: 398: 292: 262: 242: 215: 188: 157: 130: 55: 1395:(2nd ed.). New York: Springer. pp. 52–55. 1965: 1914: 1886: 1840: 1786: 1758: 1723: 1682: 1651: 1613: 1602: 1569: 1526: 1493: 114:{\displaystyle Y=X_{1}\beta _{1}+X_{2}\beta _{2}+u} 42:The Frisch–Waugh–Lovell theorem states that if the 944: 907: 880: 853: 809: 782: 752: 725: 705: 658: 516: 418: 381: 275: 248: 228: 201: 170: 143: 113: 1413:An Introduction to Classical Econometric Theory 1346:Davidson, Russell; MacKinnon, James G. (2004). 1325:Davidson, Russell; MacKinnon, James G. (1993). 1295:Journal of the American Statistical Association 1267:Journal of the American Statistical Association 1036:Journal of the American Statistical Association 1354:. New York: Oxford University Press. pp.  713:is the vector of residuals from regression of 1467: 8: 671:residual maker matrix or annihilator matrix 1610: 1474: 1460: 1452: 1222: 934: 929: 923: 899: 893: 872: 866: 845: 833: 828: 822: 801: 795: 774: 768: 744: 738: 718: 692: 687: 681: 646: 645: 640: 627: 617: 606: 605: 600: 587: 566: 561: 555: 507: 506: 501: 488: 478: 467: 466: 461: 448: 442: 408: 403: 397: 365: 360: 347: 337: 325: 320: 302: 297: 291: 267: 261: 256:is the error term), then the estimate of 241: 220: 214: 193: 187: 162: 156: 135: 129: 99: 89: 76: 66: 54: 1328:Estimation and Inference in Econometrics 1983:Numerical smoothing and differentiation 1258:Frisch, Ragnar; Mudgett, B. D. (1931). 988: 647: 607: 508: 468: 16:Theorem in statistics and econometrics 1253: 1251: 7: 1518:Iteratively reweighted least squares 1192: 1190: 1156:Mosteller, F.; Tukey, J. W. (1977). 27:is named after the econometricians 1536:Pearson product-moment correlation 1244:. London: Charles Griffin &Co. 1203:Proceedings of the Royal Society A 1177:Statistics and Probability Letters 14: 25:Frisch–Waugh–Lovell (FWL) theorem 2016: 1135:. Malden: Blackwell. p. 7. 1437:. MIT Press. pp. 311–314. 1434:A Primer in Econometric Theory 1350:Econometric Theory and Methods 1308:10.1080/01621459.1963.10480682 1279:10.1080/01621459.1931.10502225 1049:10.1080/01621459.1963.10480682 624: 593: 485: 454: 1: 1065:Journal of Economic Education 2006:Regression analysis category 1896:Response surface methodology 540:of the column space of  1878:Frisch–Waugh–Lovell theorem 1848:Mean and predicted response 854:{\textstyle M_{X_{1}}X_{2}} 2080: 1528:Correlation and dependence 1238:Yule, George Udny (1932). 1197:Yule, George Udny (1907). 276:{\displaystyle \beta _{2}} 229:{\displaystyle \beta _{2}} 202:{\displaystyle \beta _{1}} 2001: 1873:Minimum mean-square error 1760:Decomposition of variance 1664:Growth curve (statistics) 1633:Generalized least squares 1431:Stachurski, John (2016). 945:{\displaystyle M_{X_{1}}} 419:{\displaystyle M_{X_{1}}} 1731:Generalized linear model 1623:Simple linear regression 1513:Non-linear least squares 1495:Computational statistics 1129:Davidson, James (2000). 1224:2027/coo.31924081088423 1078:10.3200/JECE.39.1.88-91 861:, that is: the part of 783:{\textstyle \beta _{2}} 706:{\textstyle M_{X_{1}}Y} 2064:Theorems in statistics 2023:Mathematics portal 1947:Orthogonal polynomials 1773:Analysis of covariance 1638:Weighted least squares 1628:Ordinary least squares 1579:Ordinary least squares 1215:10.1098/rspa.1907.0028 946: 909: 882: 855: 811: 784: 754: 727: 707: 660: 518: 420: 383: 277: 250: 230: 203: 172: 145: 115: 1988:System identification 1952:Chebyshev polynomials 1937:Numerical integration 1888:Design of experiments 1832:Regression validation 1659:Polynomial regression 1584:Partial least squares 947: 910: 883: 856: 812: 785: 755: 728: 708: 661: 538:orthogonal complement 519: 428:orthogonal complement 421: 384: 278: 251: 231: 204: 173: 171:{\displaystyle X_{2}} 146: 144:{\displaystyle X_{1}} 116: 1993:Moving least squares 1932:Approximation theory 1868:Studentized residual 1858:Errors and residuals 1853:Gauss–Markov theorem 1768:Analysis of variance 1690:Nonlinear regression 1669:Segmented regression 1643:General linear model 1561:Confounding variable 1508:Linear least squares 1410:Ruud, P. A. (2000). 922: 892: 865: 821: 794: 767: 737: 717: 680: 554: 441: 396: 290: 260: 240: 213: 186: 155: 128: 53: 2059:Regression analysis 2011:Statistics category 1942:Gaussian quadrature 1827:Model specification 1794:Stepwise regression 1652:Predictor structure 1589:Total least squares 1571:Regression analysis 1556:Partial correlation 1487:regression analysis 1171:Peng, Ding (2021). 652: 612: 513: 473: 2054:Economics theorems 2028:Statistics outline 1927:Numerical analysis 1378:Tibshirani, Robert 1132:Econometric Theory 942: 908:{\textstyle X_{1}} 905: 888:uncorrelated with 881:{\textstyle X_{2}} 878: 851: 810:{\textstyle X_{2}} 807: 780: 753:{\textstyle X_{1}} 750: 733:on the columns of 723: 703: 656: 636: 596: 536:projects onto the 514: 497: 457: 426:projects onto the 416: 379: 273: 246: 226: 199: 168: 141: 111: 33:Frederick V. Waugh 2041: 2040: 2033:Statistics topics 1978:Calibration curve 1787:Model exploration 1754: 1753: 1724:Non-normal errors 1615:Linear regression 1606:statistical model 1402:978-0-387-84857-0 1302:(304): 993–1010. 1160:. Addison-Wesley. 1043:(304): 993–1010. 547:. Specifically, 524:. Equivalently, 436:projection matrix 249:{\displaystyle u} 236:are vectors (and 37:Michael C. Lovell 2071: 2021: 2020: 1778:Multivariate AOV 1674:Local regression 1611: 1603:Regression as a 1594:Ridge regression 1541:Rank correlation 1476: 1469: 1462: 1453: 1448: 1427: 1406: 1390: 1382:Friedman, Jerome 1369: 1353: 1342: 1312: 1311: 1289: 1283: 1282: 1273:(176): 375–392. 1264: 1255: 1246: 1245: 1235: 1229: 1228: 1226: 1209:(529): 182–193. 1194: 1185: 1184: 1168: 1162: 1161: 1153: 1147: 1146: 1126: 1120: 1119: 1096: 1090: 1089: 1059: 1053: 1052: 1030: 1024: 1023: 993: 966:George Udny Yule 951: 949: 948: 943: 941: 940: 939: 938: 914: 912: 911: 906: 904: 903: 887: 885: 884: 879: 877: 876: 860: 858: 857: 852: 850: 849: 840: 839: 838: 837: 816: 814: 813: 808: 806: 805: 790:do not apply to 789: 787: 786: 781: 779: 778: 759: 757: 756: 751: 749: 748: 732: 730: 729: 724: 712: 710: 709: 704: 699: 698: 697: 696: 665: 663: 662: 657: 651: 650: 644: 635: 634: 622: 621: 611: 610: 604: 592: 591: 573: 572: 571: 570: 523: 521: 520: 515: 512: 511: 505: 496: 495: 483: 482: 472: 471: 465: 453: 452: 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895: 890: 889: 868: 863: 862: 841: 829: 824: 819: 818: 797: 792: 791: 770: 765: 764: 740: 735: 734: 715: 714: 688: 683: 678: 677: 623: 613: 583: 562: 557: 552: 551: 546: 535: 534: 484: 474: 444: 439: 438: 404: 399: 394: 393: 361: 356: 343: 333: 321: 316: 298: 293: 288: 287: 263: 258: 257: 238: 237: 216: 211: 210: 189: 184: 183: 158: 153: 152: 131: 126: 125: 95: 85: 72: 62: 51: 50: 17: 12: 11: 5: 2077: 2075: 2067: 2066: 2061: 2056: 2046: 2045: 2039: 2038: 2036: 2035: 2030: 2025: 2013: 2008: 2002: 1999: 1998: 1996: 1995: 1990: 1985: 1980: 1975: 1969: 1967: 1963: 1962: 1960: 1959: 1954: 1949: 1944: 1939: 1934: 1929: 1923: 1921: 1912: 1911: 1909: 1908: 1903: 1901:Optimal design 1898: 1892: 1890: 1884: 1883: 1881: 1880: 1875: 1870: 1865: 1860: 1855: 1850: 1844: 1842: 1838: 1837: 1835: 1834: 1829: 1824: 1823: 1822: 1817: 1812: 1807: 1796: 1790: 1788: 1784: 1783: 1781: 1780: 1775: 1770: 1764: 1762: 1756: 1755: 1752: 1751: 1749: 1748: 1743: 1738: 1733: 1727: 1725: 1721: 1720: 1718: 1717: 1712: 1707: 1702: 1700:Semiparametric 1697: 1692: 1686: 1684: 1680: 1679: 1677: 1676: 1671: 1666: 1661: 1655: 1653: 1649: 1648: 1646: 1645: 1640: 1635: 1630: 1625: 1619: 1617: 1608: 1600: 1599: 1597: 1596: 1591: 1586: 1581: 1575: 1573: 1567: 1566: 1564: 1563: 1558: 1553: 1547: 1545:Spearman's rho 1538: 1532: 1530: 1524: 1523: 1521: 1520: 1515: 1510: 1505: 1499: 1497: 1491: 1490: 1481: 1479: 1478: 1471: 1464: 1456: 1450: 1449: 1443: 1428: 1422: 1407: 1401: 1374:Hastie, Trevor 1370: 1364: 1343: 1337: 1320: 1317: 1314: 1313: 1284: 1247: 1230: 1186: 1163: 1148: 1141: 1121: 1114: 1100:Hayashi, Fumio 1091: 1054: 1025: 1006:(4): 387–401. 987: 986: 984: 981: 961: 958: 937: 933: 928: 902: 898: 875: 871: 848: 844: 836: 832: 827: 804: 800: 777: 773: 747: 743: 726:{\textstyle Y} 722: 702: 695: 691: 686: 667: 666: 655: 649: 643: 639: 633: 630: 626: 620: 616: 609: 603: 599: 595: 590: 586: 582: 579: 576: 569: 565: 560: 544: 532: 528: 510: 504: 500: 494: 491: 487: 481: 477: 470: 464: 460: 456: 451: 447: 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1732: 1729: 1728: 1726: 1722: 1716: 1713: 1711: 1708: 1706: 1703: 1701: 1698: 1696: 1695:Nonparametric 1693: 1691: 1688: 1687: 1685: 1681: 1675: 1672: 1670: 1667: 1665: 1662: 1660: 1657: 1656: 1654: 1650: 1644: 1641: 1639: 1636: 1634: 1631: 1629: 1626: 1624: 1621: 1620: 1618: 1616: 1612: 1609: 1607: 1601: 1595: 1592: 1590: 1587: 1585: 1582: 1580: 1577: 1576: 1574: 1572: 1568: 1562: 1559: 1557: 1554: 1551: 1550:Kendall's tau 1548: 1546: 1542: 1539: 1537: 1534: 1533: 1531: 1529: 1525: 1519: 1516: 1514: 1511: 1509: 1506: 1504: 1503:Least squares 1501: 1500: 1498: 1496: 1492: 1488: 1484: 1483:Least squares 1477: 1472: 1470: 1465: 1463: 1458: 1457: 1454: 1446: 1444:9780262337465 1440: 1436: 1435: 1429: 1425: 1423:0-19-511164-8 1419: 1415: 1414: 1408: 1404: 1398: 1394: 1387: 1383: 1379: 1375: 1371: 1367: 1365:0-19-512372-7 1361: 1357: 1352: 1351: 1344: 1340: 1338:0-19-506011-3 1334: 1330: 1329: 1323: 1322: 1318: 1309: 1305: 1301: 1297: 1296: 1288: 1285: 1280: 1276: 1272: 1268: 1261: 1254: 1252: 1248: 1243: 1242: 1234: 1231: 1225: 1220: 1216: 1212: 1208: 1204: 1200: 1193: 1191: 1187: 1182: 1178: 1174: 1167: 1164: 1159: 1152: 1149: 1144: 1142:0-631-21584-0 1138: 1134: 1133: 1125: 1122: 1117: 1115:0-691-01018-8 1111: 1107: 1106: 1101: 1095: 1092: 1087: 1083: 1079: 1075: 1071: 1067: 1066: 1058: 1055: 1050: 1046: 1042: 1038: 1037: 1029: 1026: 1021: 1017: 1013: 1009: 1005: 1001: 1000: 992: 989: 982: 980: 977: 973: 969: 967: 959: 957: 954: 935: 931: 926: 916: 900: 896: 873: 869: 846: 842: 834: 830: 825: 802: 798: 775: 771: 761: 745: 741: 720: 700: 693: 689: 684: 674: 672: 653: 641: 637: 631: 628: 618: 614: 601: 597: 588: 584: 580: 577: 574: 567: 563: 558: 550: 549: 548: 543: 539: 531: 527: 502: 498: 492: 489: 479: 475: 462: 458: 449: 445: 437: 433: 429: 409: 405: 400: 376: 373: 366: 362: 357: 353: 348: 344: 338: 334: 326: 322: 317: 313: 310: 303: 299: 294: 286: 285: 284: 268: 264: 243: 221: 217: 194: 190: 181: 163: 159: 136: 132: 108: 105: 100: 96: 90: 86: 82: 77: 73: 67: 63: 59: 56: 49: 48: 47: 45: 40: 38: 34: 30: 29:Ragnar Frisch 26: 22: 1966:Applications 1877: 1805: 1683:Non-standard 1433: 1412: 1392: 1349: 1327: 1299: 1293: 1287: 1270: 1266: 1240: 1233: 1206: 1202: 1180: 1176: 1166: 1157: 1151: 1131: 1124: 1105:Econometrics 1104: 1094: 1072:(1): 88–91. 1069: 1063: 1057: 1040: 1034: 1028: 1003: 999:Econometrica 997: 991: 978: 974: 970: 963: 955: 917: 762: 675: 668: 541: 529: 525: 391: 123: 41: 24: 21:econometrics 18: 676:The vector 2048:Categories 1841:Background 1804:Mallows's 983:References 44:regression 1916:Numerical 1183:: 108945. 1086:154907484 772:β 629:− 581:− 490:− 345:β 265:β 218:β 191:β 97:β 74:β 1746:Logistic 1736:Binomial 1715:Isotonic 1710:Quantile 1384:(2017). 1102:(2000). 180:matrices 1741:Poisson 1020:1907330 960:History 817:but to 434:of the 430:of the 1705:Robust 1441:  1420:  1399:  1362:  1335:  1139:  1112:  1084:  1018:  392:where 124:where 35:, and 23:, the 1389:(PDF) 1358:–75. 1263:(PDF) 1082:S2CID 1016:JSTOR 432:image 1485:and 1439:ISBN 1418:ISBN 1397:ISBN 1360:ISBN 1333:ISBN 1137:ISBN 1110:ISBN 209:and 178:are 151:and 1820:BIC 1815:AIC 1304:doi 1275:doi 1219:hdl 1211:doi 1181:168 1074:doi 1045:doi 1008:doi 19:In 2050:: 1391:. 1380:; 1376:; 1356:62 1300:58 1298:. 1271:21 1269:. 1265:. 1250:^ 1217:. 1207:79 1205:. 1201:. 1189:^ 1179:. 1175:. 1080:. 1070:39 1068:. 1041:58 1039:. 1014:. 1002:. 760:. 673:. 182:, 39:. 31:, 1808:p 1806:C 1552:) 1543:( 1475:e 1468:t 1461:v 1447:. 1426:. 1405:. 1368:. 1341:. 1310:. 1306:: 1281:. 1277:: 1227:. 1221:: 1213:: 1145:. 1118:. 1088:. 1076:: 1051:. 1047:: 1022:. 1010:: 1004:1 936:1 932:X 927:M 901:1 897:X 874:2 870:X 847:2 843:X 835:1 831:X 826:M 803:2 799:X 776:2 746:1 742:X 721:Y 701:Y 694:1 690:X 685:M 654:, 648:T 642:1 638:X 632:1 625:) 619:1 615:X 608:T 602:1 598:X 594:( 589:1 585:X 578:I 575:= 568:1 564:X 559:M 545:1 542:X 533:1 530:X 526:M 509:T 503:1 499:X 493:1 486:) 480:1 476:X 469:T 463:1 459:X 455:( 450:1 446:X 410:1 406:X 401:M 377:, 374:u 367:1 363:X 358:M 354:+ 349:2 339:2 335:X 327:1 323:X 318:M 314:= 311:Y 304:1 300:X 295:M 269:2 244:u 222:2 195:1 164:2 160:X 137:1 133:X 109:u 106:+ 101:2 91:2 87:X 83:+ 78:1 68:1 64:X 60:= 57:Y

Index

econometrics
Ragnar Frisch
Frederick V. Waugh
Michael C. Lovell
regression
matrices
orthogonal complement
image
projection matrix
orthogonal complement
residual maker matrix or annihilator matrix
George Udny Yule
Econometrica
doi
10.2307/1907330
JSTOR
1907330
Journal of the American Statistical Association
doi
10.1080/01621459.1963.10480682
Journal of Economic Education
doi
10.3200/JECE.39.1.88-91
S2CID
154907484
Hayashi, Fumio
Econometrics
ISBN
0-691-01018-8
Econometric Theory

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