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.

Documentation

Manual: prais.pdf
Vignette: None available.

Maintainer: Franz Mohr <prais.r at outlook.com>

Author(s): Franz Mohr

Install package and any missing dependencies by running this line in your R console:

install.packages("prais")

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Version 0.1.1
Published 2015-03-20
License GPL-2
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Package source prais_0.1.1.tar.gz