rho=sum(2,n) e(t)*e(t-1)/ sum(3,n) e(t-1)**2
No matter, I have moved on to looking at other sources.
Search found 4 matches
- Tue Oct 23, 2012 4:48 pm
- Forum: Econometric Discussions
- Topic: Prais-Winsten Procedure
- Replies: 7
- Views: 5154
- Mon Oct 22, 2012 4:35 pm
- Forum: Econometric Discussions
- Topic: Prais-Winsten Procedure
- Replies: 7
- Views: 5154
Re: Prais-Winsten Procedure
Actually, I think it is a mistake because the only way I can reproduce the results is by using the printed formula!
rho=sum(2,n) e(t)*e(t-1)/ sum(3,n) e(t-1)**2
rho=sum(2,n) e(t)*e(t-1)/ sum(3,n) e(t-1)**2
- Wed Oct 10, 2012 4:56 pm
- Forum: Econometric Discussions
- Topic: Prais-Winsten Procedure
- Replies: 7
- Views: 5154
Re: Prais-Winsten Procedure
Yes, it is really a 3, which is why I have the question. I also should have said that most appear to sum from 2, not 3
- Tue Oct 09, 2012 4:24 pm
- Forum: Econometric Discussions
- Topic: Prais-Winsten Procedure
- Replies: 7
- Views: 5154
Prais-Winsten Procedure
I am having trouble getting a clear idea of how to calculate rho for the P-W iterative procedure. Kmenta (Second Edition, page 319 ) says rho=sum(2,n) e(t)*e(t-1)/ sum(3,n) e(t-1)**2 while virtually every other source I can find on the internet says regress e on e lagged 1. Obviously there is a sign...