prais
Prais-Winsten Estimator for AR(1) Serial Correlation
v1.1.4
·
Jun 25, 2025
·
GPL-2
Description
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.
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| r-release-windows-x86_64 | OK |