Two FWL Theorems for the Price of One

The result that I prefer to call Yule’s Rule , more commonly known as the “Frisch-Waugh-Lovell (FWL) theorem”, shows how to calculate the regression slope coefficient for one predictor by carrying out additional “auxiliary” regressions that adjust for all other predictors . You’ve probably encountered this result if you’ve studied introductory econometrics. But it may surprise you to learn that there are actually two variants of the FWL theorem, each with its pros and cons. Today we’ll take a lo