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

Dimitrios V. Vougas
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Dimitrios V. Vougas: Swansea University, Swansea SA2 8PP, UK

Econometrics, 2021, vol. 9, issue 3, 1-6

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.

Keywords: Prais–Winsten algorithm; fast zig-zag algorithm; linear regression; autoregressive errors; exact NLS; unconditional ML (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2021
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