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Prais–Winsten Algorithm for Regression with Second or Higher Order Autoregressive Errors

Author

Listed:
  • Dimitrios V. Vougas

    (Swansea University, Swansea SA2 8PP, UK
    Retired.)

Abstract

There is no available Prais–Winsten algorithm for regression with AR(2) or higher order errors, and the one with AR(1) errors is not fully justified or is implemented incorrectly (thus being inefficient). This paper addresses both issues, providing an accurate, computationally fast, and inexpensive generic zig-zag algorithm.

Suggested Citation

  • Dimitrios V. Vougas, 2021. "Prais–Winsten Algorithm for Regression with Second or Higher Order Autoregressive Errors," Econometrics, MDPI, vol. 9(3), pages 1-6, August.
    • Handle: RePEc:gam:jecnmx:v:9:y:2021:i:3:p:32-:d:623076
    as

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    References listed on IDEAS

    as
    1. Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
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