Prais–Winsten estimation
In econometrics, Prais–Winsten estimation is a procedure meant to take care of the serial correlation of type AR(1) in a linear model. It is a modification of Cochrane–Orcutt estimation in the sense that it does not lose the first observation and leads to more efficiency as a result.

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Prais–Winsten estimation - Wikipedia, the free encyclopedia
In econometrics, Prais–Winsten estimation is a procedure meant to take care of the serial correlation of type AR(1) in a linear model. It is a modification of ...
en.wikipedia.org/wiki/Prais%E2%80%93Winsten_estimation
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Economics 210 Autocorrelation Handout # 10
prais infl un rmgbl rmgbs. Iteration 0: rho = 0.0000. Iteration 5: rho = 0.5012. Iteration 6: rho = 0.5012. Prais-Winsten AR(1) regression -- iterated estimates.
irving.vassar.edu/faculty/wl/Econ210/autoF01.pdf
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st: Prais-Winsten Estimation with more than 1 lag in AR Disturbance ...
Feb 10, 2006 ... Hi, I am trying to run the prais command in stata and I want to model the error disturbance term with 1 and 3 lags, like an AR(1 3) model.
www.stata.com/statalist/archive/2006-02/msg00395.html
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Alternative Autocorrelation Correction Methods - SAS
For a first-order AR process, the Yule-Walker estimates are often termed Prais-Winsten estimates (Prais and Winsten; 1954). There are variations to these ...
support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/etsug_autoreg_sect021.htm
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EViews.com • View topic - Prais-Winsten & Cochrane Orcutt gls ...
What i need to know is how can i take the iterative prais- winsten estimator without having to transform all data manually and repeat for many ...
forums.eviews.com/viewtopic.php?f=6&t=2267
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Introductory Econometrics: A Modern Approach, 5th ed. - Google Books Result
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Prais-Winsten - Dictionary Definition of Prais-Winsten
Definition: The Prais-Winsten transformation is an improvement to the original Cochrane-Orcutt algorithm for estimating time series regressions in the presence ...
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Notes - Bryn Mawr College
One can demonstrate that this value of rhat yields at least a local minimum in ESS for the transformed model. B) Prais-Winsten estimation. A drawback of the first ...
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Practical Considerations when Estimating in the ... - Bentley University
(GLS) procedures such as the Cochrane-Orcutt or Prais-. Winsten two-step or iterative procedures, which are based on a particular estimator for the correlation.
www.bentley.edu/centers/sites/www.bentley.edu.centers/files/csbigs/Jaggia.pdf
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JavaScript is disabled. This site works best with JavaScript ...
freepdfdb.org/pdf/prais-winsten
Search results for "Prais–Winsten estimation"
Prais–Winsten estimation in science
Re: st: Prais-Winsten Estimation with more than 1 lag in ... - Stata
Feb 10, 2006 ... Re: st: Prais-Winsten Estimation with more than 1 lag in ... of Social Work New York University home address: Apt 19-W 2100 Linwood Ave.
[PDF]Prais - Stata
prais — Prais–Winsten and Cochrane–Orcutt regression ... prais uses the generalized least-squares method to estimate the parameters in a linear ..... at the University of Cambridge and worked with the Cowles Commission at the University of.
[PDF]Time Series Models
estimation nuisance.4 Let's take a quick look at how this would work. Consider the ..... 7Actually, only the Prais-Winsten method is really full FGLS. 8For the CO ...
[PDF]Time Series - New York University
Modern view - model the dynamics as part of the model, not an estimation ... If serial correlation and no lagged y, can use GLS (Prais-Winsten), maximum ...
[PDF]Robust Trend Estimation for AR(1) Disturbances 1 Introduction
University of Dortmund. Abstract: We discuss the robust estimation of a linear trend if the noise follows an autoregressive process of first ... improved by a Prais-Winsten transformation using a robust autocorrelation estimator. Keywords: Robust ...
[PDF]Supplementary Appendix - UC San Diego
University of California, San Diego. Steven C. Poe. University of North Texas ... To estimate our models using Prais-Winsten estimation with panel-corrected.
use of lagged dependent variables with Cochrane-Orcutt and Prais ...
Nov 26, 2011... of lagged dependent variables with Cochrane-Orcutt and Prais-Winsten estimation ... Gabor Ruzsa Corvinus University of Budapest, Hungary ...
[PDF]A Pooled Time-Series Analysis on the Relation Between Fertility and ...
tries from 1960-2000 we estimate pooled time series models of fertility and female labour ... panel models as well as Prais-Winsten regressions with panel- corrected stan- dard errors ...... Unpublished Working Paper, Chapel Hill: University of.
[R] Cochrane-Orcutt method
Jan 10, 2002 ... I'm not aware of an implementation in a package, but I have two-step > Cochrane -Orcott and Prais-Winsten estimators for my own use, which ...
Books on the term Prais–Winsten estimation
Introductory Econometrics: A Modern Approach, 5th ed.
Jeffrey M. Wooldridge, 2012
PRAIS-WINSTEN ESTIMATION IN THE EvENT STUDY Again using the data in BARIUM.RAW, we estimate the equation in Example 10.5 using iterated Prais-Winsten estimation. For comparison, we also present the OLS results in Table 12.1.
An Introduction to Modern Econometrics Using Stata
Christopher F. Baum, 2006
Although you could argue for the superiority of a maximum likelihood approach, Monte Carlo studies suggest that the Prais- Winsten estimator is nearly as efficient in practice as maximum likelihood. I illustrate the Prais- Winsten estimator by ...
Time series analysis: regression techniques
Charles W. Ostrom, 1990
Prais-Winsten. The Prais-Winsten estimator is significant because it represents the initial attempt to incorporate the first observation into the estimation process ( Kmenta, 1986:318). While the mathematical underpinnings of the Prais-Winsten ...
Econometrics
With this estimate of ρ, denoted by ̂ρBM, one performs the Prais- Winsten procedure in the next step. Correcting for serial correlation is not without its critics . Mizon (1995) argues this point forcefully in his article entitled “A simple message for ...
John Chipman, 2011
... linear restrictions 4.6 Properties of the generalized ridge estimator 4.7 Comparison of restricted and generalized ridge ... estimator 6.5 Efficiency of trend estimation: the Prais–Winsten firstdifference estimator 6.6 Discussion of the literature ...

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Prais–Winsten estimation
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