pw_transform

a named matrix containing the data that should be transformed.

data

the AR(1) serial correlation coefficient \(\rho\).

logal. If TRUE (default) a column of intercept values is added.

intercept

a list containing a vector of positions of each
ID variable as its elements. Only required for panel data.

groups

Performs the Prais-Winsten transformation for a given data set.

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.

pw_transform: Prais-Winsten Transformation

Description

Usage

Arguments

Value