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 <>
Package repositoryView on CRAN
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prais documentation built on Nov. 1, 2021, 5:07 p.m.