prais

Prais-Winsten Estimator for AR(1) Serial Correlation

CRAN Package

The Prais-Winsten estimator (Prais & Winsten, 1954) takes into account AR(1) serial correlation of the errors in a linear regression model. The procedure recursively estimates the coefficients and the error autocorrelation of the specified model until sufficient convergence of the AR(1) coefficient is attained.

  • Version1.1.3
  • R versionunknown
  • LicenseGPL-2
  • Needs compilation?No
  • Last release11/25/2024

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  • Depends2 packages