prais (Q27314)
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Prais-Winsten Estimator for AR(1) Serial Correlation
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | prais |
Prais-Winsten Estimator for AR(1) Serial Correlation |
Statements
expanded from: GPL (≥ 2) (English)
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18 September 2026
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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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