vcovHC.prais

Semirobust covariance matrix estimators for models of class <code>"prais"</code>.

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.

Franz X. Mohr

prais

Prais-Winsten Estimator for AR(1) Serial Correlation

vcovHC.prais function

<dl><dt>x</dt>
<dd>an object of class <code>"prais"</code>, usually, the result of a call to <code>prais_winsten</code>.</dd>
<dt>type</dt>
<dd>a character string specifying the estimation type.</dd>
<dt>...</dt>
<dd>not used.</dd></dl>

Arguments

Semirobust Covariance Matrix Estimators — vcovHC.prais

<dl>

<dt>x</dt>
<dd>an object of class <code>"prais"</code>, usually, the result of a call to <code>prais_winsten</code>.</dd>


<dt>type</dt>
<dd>a character string specifying the estimation type.</dd>


<dt>...</dt>
<dd>not used.</dd>

</dl>

vcovHC.prais: Semirobust Covariance Matrix Estimators

Description

Usage

Value

Arguments

Details

See Also