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.

Getting started

Package details

AuthorFranz X. Mohr [aut, cre]
MaintainerFranz X. Mohr <[email protected]>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the prais package in your browser

Any scripts or data that you put into this service are public.

prais documentation built on Jan. 6, 2019, 1:05 a.m.