The Prais-Winsten estimation procedure takes into account serial correlation of type AR(1) in a linear model. The procedure is an iterative method that recursively estimates the beta coefficients and the error autocorrelation of the specified model until convergence of rho, i.e. the AR(1) coefficient, is attained. All estimates are obtained by OLS.
~~ functions ~~ prais.winsten
Maintainer: Franz Mohr <[email protected]>
Prais, S. J. and Winsten, C. B. (1954): Trend Estimators and Serial Correlation. Cowles Commission Discussion Paper No. 383 (Chicago).
Wooldridge, J. M. (2013): Introductory Econometrics. A Modern Approach. 5th ed. Mason, OH: South-Western Cengage Learning Cengage.
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