prais
Prais-Winsten Estimator for AR(1) Serial Correlation
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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Franz X. Mohr
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- Depends2 packages