Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247622 
Year of Publication: 
2021
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 9 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-6
Publisher: 
MDPI, Basel
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.
Subjects: 
autoregressive errors
exact NLS
fast zig-zag algorithm
linear regression
Prais-Winsten algorithm
unconditional ML
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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