Prais-Winsten Estimator for AR(1) Serial Correlation
Prais-Winsten Estimator for AR(1) Serial Correlation
prais: Prais-Winsten Estimator for AR(1) Serial Correlation
Summarising the Prais-Winsten Estimator
Semirobust Covariance Matrix Estimators
Extract Panel-Corrected Variance Covariance Matrix
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.