Prais-Winsten algorithm for regression with second or higher order autoregressive errors

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.

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Year of publication:	2021
Authors:	Vougas, Dimitrios V.
Published in:	Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 9.2021, 3, p. 1-6
Publisher:	Basel : MDPI
Subject:	autoregressive errors \| exact NLS \| fast zig-zag algorithm \| linear regression \| Prais-Winsten algorithm \| unconditional ML

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/econometrics9030032 [DOI] 1770084843 [GVK] hdl:10419/247622 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10012696337