prais

Prais-Winsten Estimator for AR(1) Serial Correlation

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.

Total

16,819

Last month

949

Last week

170

Average per day

32

Daily downloads

Total downloads

Description file content

Encoding
UTF-8
Package
prais
Type
Package
Title
Prais-Winsten Estimator for AR(1) Serial Correlation
Version
1.1.1
Description
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.
License
GPL-2
Depends
R (>= 3.2.0)
Imports
lmtest, sandwich, stats
LazyData
true
RoxygenNote
6.1.1
URL
BugReports
https://github.com/franzmohr/prais/issues
Collate
'prais_winsten.R' 'print.prais.R' 'summary.prais.R' 'print.summary.prais.R' 'pw_transform.R' 'vcovHC.R'
NeedsCompilation
no
Packaged
2019-03-10 10:05:39 UTC; franz
Author
Franz X. Mohr [aut, cre]
Maintainer
Franz X. Mohr
Repository
CRAN
Date/Publication
2019-03-10 10:20:03 UTC

install.packages('prais')

1.1.1

3 months ago

https://github.com/franzmohr/prais

Franz X. Mohr

GPL-2

Depends on

R (>= 3.2.0)

Imports

lmtest, sandwich, stats

Discussions